– Bachelor Thesis –

The Relevance of Sustainability for Investors:

Can Socially Responsible Investments Offer Investors

Superior Returns or Reduced Volatility?

Presented by: Gianina Thalmann

[email protected]
S16542631

Submitted to: Dr. Fridolin Brand

Zurich University of Applied Sciences

ZHAW

School of Management and Law

Department of International Management
Bachelor of Science in International Management

Winterthur, May 23. 2019

 The Relevance of Sustainability for Investors

Management Summary

According to the classical approach, investment decisions are made on the basis of
two key parameters; the expected rate of return and the level of investment risk. Many
investors today are, however, also concerned about the nonfinancial dimensions of
investments, such as environmental or social impacts. This has given rise to socially
responsible investment practices, integrating environmental, social, and governance
(ESG) considerations into investment decision-making. Naturally, the question arises
whether investors face a trade-off between the financial and the non-financial dimensions
of investment performance. In fact, the question has been widely debated among
empirical literature, but remains unsolved, due to largely contradicting conclusions.
This thesis addressed this question by investigating whether socially responsible
investments can provide investors with a financial advantage in either the form of reduced
volatility or higher return. For this purpose, a combination of both primary and secondary
research methods was used. Firstly, existing literature was studied to derive the current
state of empirical research on the topic. Secondly, a statistical analysis was conducted,
examining the relationship between the ESG scores and respective volatility and return
rates of more than 1500 equity funds across a three-year time horizon between 2016 and
2018.
The obtained results indicated that socially responsible investments are, in fact,
slightly less volatile than more traditional investments. The review of existing literature
clearly illustrated that a vast majority of empirical research has determined that socially
responsible investments generally exhibit lower volatility rates than conventional
investments. Likewise, the statistical analysis provided evidence of a weak but
statistically significant, negative correlation between funds’ ESG scores and volatility
rates. On the contrary, the results indicated that no clear relationship can be established
between an investment’s degree of social responsibility and its rate of return. The
conclusions of the reviewed literature were found to be largely contradicting, with some
research claiming a negative and others a neutral or even positive relationship between
the two variables. Similarly, the statistical analysis indicated that there is no significant
correlation between a fund’s ESG score and return rate.

i
 The Relevance of Sustainability for Investors

Hence, the results of this thesis suggest that socially responsible investments
generally exhibit lower volatility rates, but not significantly different returns rates than
more conventional investments. Consequently, the thesis is not only relevant to investors
contemplating a more sustainable investment approach, but also to companies
considering committing to sustainability and policymakers determined to foster
sustainable development.
Based on the limitations of this thesis, future research is recommended to
investigate the extent by which the performance of socially responsible investments is
affected by either its respective investment horizon or particular investment universe.

ii
 The Relevance of Sustainability for Investors

Acknowledgment
First and foremost, I would like to thank my supervisor, Dr. Fridolin Brand, for his
continued and patient assistance throughout this whole project. I am also very grateful
to Mr. Daniel Frauenfelder and the company CSSP for not only providing their
expertise but also the extensive dataset which I have been able to work with. Finally, I
would like to thank my friends and family for supporting and guiding me through this
time.

iii
 The Relevance of Sustainability for Investors

Table of Contents

i List of Figures ......................................................................................................... vi

ii List of Tables ........................................................................................................... vi

iii List of Abbreviations .............................................................................................. vii

1 Introduction ............................................................................................................. 1

1.1 Research Gap ............................................................................................................. 2

1.2 Research Question and Hypotheses ......................................................................... 3

1.3 Research Objectives ................................................................................................... 3

1.4 Overview of the Thesis .............................................................................................. 4

2 Methodology ............................................................................................................. 5

2.1 Terminology ............................................................................................................... 5

2.1.1 Socially Responsible Investments .........................................................................................5
2.1.2 Environmental, Social and Governance ................................................................................6
2.1.3 Risk and Return .....................................................................................................................7

2.2 Theoretical Basis ........................................................................................................ 8

2.2.1 Theories from the CSR – CFP Debate...................................................................................8
2.2.1.1 The Theory of Reputational Capital ............................................................................8
2.2.1.2 The Theory of Moral Capital .....................................................................................12
2.2.2 Theories from the Field of Finance ....................................................................... 13
2.2.2.1 The Modern Portfolio Theory ....................................................................................14
2.2.2.2 The Capital Asset Pricing Model ...............................................................................15
2.2.2.3 The Efficient Market Hypothesis ...............................................................................15

2.3 Methods..................................................................................................................... 17
2.3.1 Secondary Research............................................................................................... 17
2.3.1.1 Data Collection ............................................................................................. 17
2.3.1.2 Method of Analysis....................................................................................... 18
2.3.2 Primary Research................................................................................................... 19
2.3.2.1 Database and Dataset .................................................................................... 19
2.3.2.2 Method of Analysis....................................................................................... 20

iv
 The Relevance of Sustainability for Investors

3 Findings ................................................................................................................. 23

3.1 Secondary Research: Literature Review ............................................................... 23

3.1.1 Risk Profiles of Socially Responsible Investments ............................................... 23
3.1.2 Return Rates of Socially Responsible Investments ............................................... 24
3.1.2.1 Claims of a Negative Correlation Between Social Responsibility and Return ..........25
3.1.2.2 Claims of a Positive Correlation Between Social Responsibility and Return ...........25
3.1.2.3 Claims of the Independence of Social Responsibility and Return .............................26

3.2 Primary Research: Statistical Analysis.................................................................. 27

3.2.1 Statistical Overview............................................................................................... 28
3.2.2 The Correlation Between ESG Scores and Volatility ........................................... 28
3.2.3 The Correlation Between ESG Scores and Return ................................................ 31
3.2.4 Outliers and Clusters ............................................................................................. 34

4 Discussion .............................................................................................................. 38

4.1 Interpretation of Inconsistencies ............................................................................ 38

4.1.1 Inconsistencies Among the Results of the Literature Review ............................... 38
4.1.2 Inconsistencies Among the Results of the Statistical Analysis ............................. 41

4.2 Discussion of Key Findings ..................................................................................... 43

4.2.1 Comparison of Primary and Secondary Research ................................................. 43
4.2.2 Acceptance of the Hypotheses............................................................................... 44

4.3 Theoretical Rationale of the Results ...................................................................... 44

4.3.1 Explaining the Correlation between Social Responsibility and Volatility ............ 45
4.3.2 Explaining the Independence of Social Responsibility and Performance ............. 45

4.4 The Results from an Investor’s Perspective .......................................................... 46

4.4.1 An Opportunity to Reduce Risk ............................................................................ 46
4.4.2 A Possibility to Accommodate Ethics Alongside Performance ............................ 47

5 Conclusion ............................................................................................................. 48

5.1 Main Conclusions ..................................................................................................... 48

5.2 Relevance of the Findings........................................................................................ 49

5.3 Limitations ................................................................................................................ 50

5.4 Outlook ..................................................................................................................... 51

6 List of References .................................................................................................. 53

7 Appendix ................................................................................................................ 57

v
 The Relevance of Sustainability for Investors

i List of Figures
Figure 1: Visualization of the Reputational Risk Management Cycle 9
(Fombrun et al., 2000, p. 89)
Figure 2: ESG Scores and Volatility Rates of the Entire Dataset (own 29
illustration)
Figure 3 ESG Scores and Volatility Among the Different Regional 30
Categories (own illustrations)
Figure 4: ESG Scores and Performance Rates of the Entire Dataset (own 32
illustration)
Figure 5: ESG Scores and Performance Among the Different Regional 33
Categories (own illustrations)
Figure 6: Volatility Outliers within the Developed Category (own 35
illustration)
Figure 7: Volatility and Performance Clusters Among the Swiss Category 36
(own illustration)

ii List of Tables
Table 1: MSCI’s Key ESG Issues for Company Evaluation (own 7
illustration based on MSCI Inc. (2018, p. 4))
Table 2: Systematic Literature Review Procedure (own illustration based 17
on Luederitz et al. (2016, p. 232))
Table 3: Composition of the Four Equity Fund Categories (own 20
illustration)
Table 4: Three-Stage Procedure of the Statistical Analysis (own 21
illustration)
Table 5: Mean (μ) & Standard Deviation (σ) of the ESG Scores, 28
Volatility, and Performance Rates (own illustration)
Table 6: Spearman's Rho and p-Values of the Correlations between ESG 30
Scores and Volatility (own illustration)
Table 7: Spearman's Rho and p-Values of the Correlations between ESG 32
Scores and Performance (own illustration)
Table 8: Spearman's Rho and p-Values Among the Original and 35
Restricted Developed Category (own illustration)
Table 9: Spearman's Rho and p-Values Among the Original and 37
Restricted Swiss Category (own illustration)
Table 10: Spearman's Rho and p-Values Comparison Among the 37
Categories (own illustration)
Table 11: Variations in Investment Universes and Investment Horizons 39
Among Empirical Research (own illustration)
Table 12: Sustainability Indicators and Providers used by Empirical 40
Literature (own illustration)

vi
 The Relevance of Sustainability for Investors

iii List of Abbreviations

ESG Environmental, Social, and Governance

CSR Corporate Social Responsibility
CFP Corporate Financial Performance
CAPM Capital Asset Pricing Model
Spearman's Rho Spearman's Rank Correlation Coefficient

vii
 The Relevance of Sustainability for Investors

1 Introduction
"We’re in the middle of a $30 trillion intergenerational wealth transfer from baby
boomers to their children. And those kids … simply think about their investment decisions
differently” (Nadig, 2017, para. 2)

Increasing global sustainability challenges such as rising sea levels or demographic

shifts cause a worldwide re-evaluation of traditional investment approaches (MSCI Inc.,
2019). Recent trends in the financial markets indicate that it is becoming increasingly
important to take social and environmental impacts into consideration during investment
decisions (Global Impact Investing Network, 2018). This has given rise to various forms
of socially responsible investment practices, integrating environmental, social, and
governance (hereafter referred to as ‘ESG’) considerations into investment decision-
making (Renneboog et al., 2008). With the introduction of the United Nations-supported
Principles for Responsible Investment in 2006 (United Nations, 2019) and the increasing
research into the financial merits of responsible investments (e.g. Bian et al., 2016; Dunn
et al., 2018), responsible investing has become a widely accepted investment strategy. In
fact, socially responsible investments have come to account for more than 20% of the
global capital market (Halbritter & Dorfleitner, 2015).
Especially the younger generations, such as millennials1, who feel the desire to give
back to society, have become interested in socially responsible investments. According
to a study conducted by the Bank of America Corporation (2014), 67% of millennials
consider investments as a mean of expressing social, political, or environmental values,
whereas only 36% of baby boomers2 share this viewpoint. In light of the quote at the
beginning of this section, the trend of socially responsible investing is thus expected to
expand considerably as younger investors will gain more market influence in the future.
The topic is also in the process of gaining relevance among policymakers. In March
2018, the European Union published its ‘Action Plan: Financing Sustainable Growth’
(European Commission, 2018), which sets out a series of recommendations to finance the
objectives of the Paris Agreement and the U.N. Sustainable Development Goals (SDGs)
by redirecting capital flows. The report calls for actions to be taken to amend regulatory
frameworks to ensure that sustainability preferences are accounted for in suitability

1
The generation born between 1981 and 1996 (Dimock, 2019)
2
The generation born between 1946 and 1964 (Dimock, 2019)

1
 The Relevance of Sustainability for Investors

assessments (ibid.). Moreover, the report brings up a potential legislative proposal that
explicitly requires institutional investors and asset managers to incorporate sustainability
considerations into their investment decisions (ibid.). Gaining substantial relevance in the
European Union may well enable the topic of socially responsible investing to gain more
attention and relevance among other policymakers.
The question which remains is whether investors pay a price for investing socially
responsible (Rehman et al., 2016). Investors have long believed that social considerations
come at the expense of economic success. In the past, neoclassicist economists have
legitimized the concept of a trade-off between economic efficiency and social progress
(Friedman, 1970). Recently, economists have however proposed new viewpoints. Porter
and Kramer’s (2011) theory of shared value, for instance, suggests that companies can
enhance their competitiveness whilst simultaneously improving social and environmental
conditions and thereby undermines the long-held idea that social responsibility
necessarily impairs financial performance. In fact, such theories pave the groundwork for
the financial industry to view social responsibility in a new light; namely as the potential
competitive advantage of a profitable asset.

1.1 Research Gap

One of the main obstructions, however, that investors face when considering
socially responsible investing are the diverging views and the controversial research on
the topic. Specifically, the question of whether there is an economic and financial virtue
to investing in socially responsible firms remains widely debated. Naturally, investors are
concerned with how adding social screens to investment decisions may affect the risk and
return of an investment. Although these topics have been extensively discussed and
investigated throughout the past two centuries, empirical research remains very
contradicting. Especially, research investigating whether the return rates of socially
responsible investments may outperform those of more conventional investments seems
to be fragmented and inconsistent. Whilst some authors have determined that socially
responsible portfolios generate significantly higher returns than conventional portfolios
(Nofsinger & Varma, 2014; Lins et al., 2017), others have argued that the returns of
socially responsible portfolios are lower than those of traditional portfolios (Hong &
Kacperczyk, 2009; Dunn et al., 2018). In addition, a majority of literature claims that

2
 The Relevance of Sustainability for Investors

returns of socially responsible investments are not at all significantly different from those
of more conventional investments (Halbritter & Dorfleitner, 2015; Rehman et al., 2016).
Furthermore, a large majority of current research has used asset return as the sole
indicator of financial outcome whilst disregarding the importance of volatility. Although
return is certainly already a very important indicator on its own, combining it with
volatility puts it into perspective and allows a deeper understanding of financial outcome.

1.2 Research Question and Hypotheses

In consequence of the discussed research gap, this thesis aims to contribute to this
field of study by exploring the following research- and sub-questions:

Can socially responsible investments offer investors a financial advantage?

1. Are socially responsible investments less volatile than more conventional
investments?
2. Do socially responsible investments generate higher returns than more
conventional investments?

In accordance with the empirical literature that is reviewed in this paper, it is

hypothesized that socially responsible investments are less volatile and consequently bear
a lower risk than more traditional investments. On the contrary, it is however also
hypothesized that socially responsible investments generally produce neither higher nor
lower returns than their conventional counterparts, since social responsibility is not at all
correlated to return rates. Thus, the following two hypotheses have been formulated and
are verified throughout this thesis.

Hypothesis 1: A negative relationship can be established between an

investment’s degree of social responsibility and its volatility
Hypothesis 2: No clear relationship can be established between an investment’s
degree of social responsibility and its rate of return

1.3 Research Objectives

The aim of this thesis is to provide investors with a more profound understanding
of the merits of integrating social responsibility criteria into their investment decisions.
Thus, the overarching objective is to determine whether and how an investment’s degree

3
 The Relevance of Sustainability for Investors

of social responsibility is correlated to both volatility and return. To that end, the paper
aims to ascertain the current state of research on the topic in existing literature, and
additionally, conduct an own empirical analysis on the correlation between funds’ ESG
scores and their respective volatility, and return rates. Finally, the thesis also aims to
critically evaluate the results that have been obtained by discussing possible reasons or
explanations for the observed findings.

1.4 Overview of the Thesis

The upcoming pages are structured into four main chapters; the methodology,
findings, discussion, and conclusion. The thesis sets off with the methodology, defining
the paper’s key terminology, providing a review of the theoretical basis and subsequently
outlining the methodological approach used to conduct this research. Thereafter, the main
findings from both secondary- and primary research are discussed in the findings section.
These findings are subsequently compared and interpreted in the discussion section.
Finally, the conclusion summarizes the thesis’ main conclusions, provides
recommendations, discusses the limitations of the thesis and proposes a future outlook.

4
 The Relevance of Sustainability for Investors

2 Methodology
This chapter is separated into three major parts; the terminology, the theoretical
basis, and the method. The terminology defines the most relevant terms and concepts,
whereas the theoretical basis reviews the relevant theories and models of the paper’s area
of research. Finally, the method outlines the methodological approach of the research.

2.1 Terminology

The following section defines and outlines the most important terms and concepts
that are going to be used throughout this thesis. The definitions will provide the basis for
the conceptual framework and may be referred back to later for clarification.

2.1.1 Socially Responsible Investments

Socially responsible investments, commonly also known as ethical investments or

sustainable investments, may be defined as investments that seek to consider
environmental protection, improved social conditions, and good governance alongside
financial dimensions (Revelli & Viviani, 2015). Unlike conventional types of
investments, socially responsible investments apply investment screens beyond financial
indicators, evaluating assets on various criteria such as environmental impact, workplace
conditions or community involvement (Renneboog et al., 2008).
Although Socially Responsible Investments have only recently gained far-reaching
recognition among common investors, the concept of seeking both financial return and
social good, has already started to emerge in the early nineteen seventies (Moskowitz,
1972). The increasing social activism and environmental concerns at that time, have given
rise to social investment practices that excluded firms producing socially undesirable
products such as alcohol, tobacco or weapons (Nofsinger & Varma, 2014). As the
industry developed, more and more investors began incorporating ESG factors into their
investment decisions and portfolio construction. The socially responsible investment
universe has been found to have increased by almost tenfold since 1995 (Bian et al.,
2016). In fact, the “total US-domiciled assets under management using SRI strategies
grew from $8.7 trillion at the start of 2016 to $12.0 trillion at the start of 2018, an increase
of 38 percent” (US SIF, 2018, p. 1). With socially responsible investments becoming
prevalent in the financial market, governments and international organizations around the

5
 The Relevance of Sustainability for Investors

world have started to promote the trend by regulation (Bian et al., 2016). As mentioned
previously, the United Nations, for instance, introduced the Principles for Responsible
Investment, a set of principles providing a framework by which investors can incorporate
ESG issues into their investment decisions (United Nations, 2019). Today, socially
responsible investing has become a widely accepted and popular investment strategy.

2.1.2 Environmental, Social and Governance

In the field of sustainable investing, ESG criteria are a widely accepted “set of
standards for a company’s operations that investors use to screen investments” (CSSP
AG, 2019, para. 1) in terms of their environmental, social and governance performance.
In addition to the ethical component, ESG standards are developed to prevent investors
from financing companies that are at risk of suffering losses as a result of their ESG
practices. Understanding an investment’s ESG ranking can provide critical insights to
investors regarding the identification of risk and opportunities that traditional investment
research may overlook (ibid.). ESG screens may thus serve as a tool to identify which
negative externalities generated by a company may turn into unanticipated costs and
which ESG issues affecting a company may turn into opportunities (MSCI Inc., 2018).
According to CSSP AG (2019), the individual ESG criteria may be explained as
follows. The environmental criterion focuses on how a company acts as a steward of
nature. Companies are evaluated on factors such as energy consumption, waste
production, natural resource conservation, and animal treatment. Additionally, this
criterion also evaluates which environmental risks may affect the firm's revenue and how
it manages those risks. The social criterion, on the other hand, focuses on a company’s
business relationships. It evaluates companies based on factors such as their relationship
with suppliers, their engagement in supporting the community, their working conditions,
and their employee relations and diversity. Finally, the governance criterion focuses on
the rights, responsibilities, and expectations of a company’s governance stakeholders.
Companies are evaluated on factors such as their accounting transparency, shareholder
rights, choice of board members, executive pay and involvement in corruption.
There are numerous ESG data providers, each using different rating methodologies.
The world’s largest ESG data provider, MSCI, rates companies on an AAA-CCC scale
relative to standards and the performance of industry peers (MSCI, 2018). The scores are
computed by evaluating companies, against a set of 37 ESG key issues as outlined in

6
 The Relevance of Sustainability for Investors

Table 1. The weighted average of these 37 scores then generates a final score between
zero and ten, where zero is worst and ten is best (ibid.).

Table 1: MSCI’s Key ESG Issues for Company Evaluation (own illustration based on MSCI Inc. (2018, p. 4))
Pillars Themes ESG Key Issues
Environmental Climate Change Carbon Emissions Product Carbon Footprint
Financing Environmental Impact Climate Change Vulnerability
Natural Resources Water Stress Biodiversity and Land Use
Raw Material Sourcing
Pollution and Waste Toxic Emissions and Waste Packaging
Material and Waste Electronic Waste
Environmental Opportunities Opportunities in Clean Tech, Opportunities in Green Building
Opportunities Renewable Energy
Social Human Capital Labor Management Human Capital Development
Health and Safety Supply Chain Labor Standards
Product Liability Product Safety and Quality Chemical Safety
Financial Product Safety Privacy and Data Security
Responsible Investment Health and Demographic Risk
Stakeholder Opposition Controversial Souring
Social Opportunities Access to Communications Access to Finance
Access to Healthcare Opportunities in Health and Nutrition
Governance Corporate Governance Board Diversity Executive Pay
Ownership and Control Accounting
Corporate Behavior Business Ethics Anti-Competitive Practice
Tax Transparency Corruption and Instability
Financial System Instability

2.1.3 Risk and Return

Two of the most important variables in investment decision-making are risk and
return. Firstly, return also referred to as performance, measures the rate at which an
investor’s funds have grown during the investment period and is thereby a critical
measure of an investment’s success (Bodie et al., 2013, p. 111). The total holding-period
return of a share is determined by not only the share’s price increase (or decrease) across
the investment period but also by the dividend income the share has provided and is
calculated as follows (ibid.).

!" # !% & '

Holding-Period Return =
!%
Where,
P0 = Beginning Price
P1 = Ending Price
D = Cash Dividend

An investment’s risk, on the other hand, is determined by the volatility of the

investment’s returns. The standard deviation (s), which is the historical volatility of
returns, is the key risk measure that analysts, portfolio managers, and advisors use to
quantify risk (Hargrave, 2019). It represents the total risk of a single asset or a portfolio

7
 The Relevance of Sustainability for Investors

by measuring the dispersion of historical returns relative to the average historical return
(ibid.). The higher the variation between historical returns of an asset, the higher its
standard deviation and thus the riskier the investment (ibid.). As demonstrated in the
formula below, the standard deviation is calculated as the square root of the variance
(ibid.).

∑0
,1"(+, #+̅ )
/
Standard Deviation (s) = (
2#3
Where,
𝑟5 = return in year i
𝑟̅ = average return across n years
𝑛 = number of years under consideration

2.2 Theoretical Basis

The following section reviews relevant theories and models of the thesis’ area of
research, by firstly focusing on the underlying debate of the relationship between
corporate social responsibility (hereafter referred to as ‘CSR’) and corporate financial
performance (hereafter referred to as ‘CFP’), and subsequently shedding light on the
relevant theories from the field of finance.

2.2.1 Theories from the CSR – CFP Debate

In order to understand how social responsibility considerations may affect an

investment’s financial return and volatility, one first needs to examine the underlying
question of how a company’s commitment to sustainable practices may influence its
financial performance. For this purpose, the following section outlines two theories, both
providing a complex theoretical explanation of the relationship between CSR and CFP.

2.2.1.1 The Theory of Reputational Capital

Fombrun’s (1996) initial theory of ‘reputational capital’ suggests that a company’s

stakeholders continuously assess and evaluate a company, thereby forming a company
reputation and consequently generating reputational capital to the company. Whereas a
reputation in and of itself has no cash value, Fombrun (1996) argued that reputational
capital does, in fact, have economic value. Regardless of whether the reputational capital
is positive or negative, it inclines stakeholders to hold views and beliefs about the

8
 The Relevance of Sustainability for Investors

company that may cause them to engage in actions that can create or destroy wealth for
shareholders (ibid.).
In 2000, Fombrun et al. have extended the reputational capital theory by proposing
that corporate citizenship helps companies to build reputational capital. According to the
theory reputational capital is built by strengthening the bonds between the company and
its eight key stakeholders; employees, customers, investors, partners, regulators, activists,
the community and media. Fombrun et al. (2000, p. 87) defined reputation capital as “the
market value of the company in excess of its liquidation value and its intellectual capital”.
The following paragraphs will be based on the extended theory of Fombrun et al.
(2000). The theory argues that increased reputation capital may enhance the company’s
ability to negotiate attractive contracts with suppliers and governments, charge premium
prices, reduce its cost of capital, improve its ability to attract resources and enhance its
performance. When companies, however, fail to provide the outcomes which
stakeholders expect from them, the loss in reputational capital may manifest itself in
reduced appeal to employees, impoverished revenues, decreased ability to attract
financial capital and declining shareholder value. Thus, the theory claims that there is no
simple correlation between CSR and CFP. Instead, the theory establishes a relationship
between reputation and risk. The theory views corporate citizenship as a strategic tool to
both realize reputational gains and mitigate the risk of reputational losses.
Figure 1 depicts the Reputational Risk Management Cycle, proposed by Fombrun
et al. (2000), by which companies can use their reputational capital to achieve
performance. The cycle suggests two ways by which a company can do so: either by
generating a platform from which future opportunities may spring or by building a safety
net against losses.

Figure 1: Visualization of the Reputational Risk Management Cycle (Fombrun et al., 2000, p. 89)

9
 The Relevance of Sustainability for Investors

According to the theory, the opportunity platform is built from the supportive social
relationships created through CSR and puts the company in a more favorable position to
take advantage of opportunities that emerge in the future. Hence social responsibility can
be viewed as platform investments that derive value from creating potential future gains,
rather than from direct income creation. This potential for gain arises from the support of
stakeholders fostering the growth of reputational capital. On the contrary, each of the
stakeholder groups also holds the power to threaten reputational capital. Social corporate
responsibility initiatives may, however, serve as some sort of safety net helping
companies to buffer themselves against this downside risk of reputation. To exemplify
this process, each stakeholder group has to be looked at individually.
Employees are the arguably most influential stakeholders since their quality of
work directly impacts the quality of the products or services offered by a company.
Additionally, they also diffuse word-to-mouth about the company when interacting with
other stakeholders. Socially responsible employment policies in areas such as employee
welfare, gender equality or development opportunities, amongst others, may allow
companies to improve employee motivation and attitude towards the company. At the
same time, such policies reduce the risk of rogue employee behavior, which could
potentially harm the company’s reputational capital.
The customers, on the other hand, offer loyalty to companies in the form of repeated
purchases and recommendations. Some customer segments have been found not only to
favor products and services from socially responsible companies but even to be willing
to pay premium prices for such products. Corporate responsibility hence acts much like
an advertising campaign enhancing the image of the company. Yet again, corporate
responsibility may also be used to mitigate the risk of customers misunderstanding or
misusing their products. Through socially responsible programs, companies can show
their concern for their customers’ wellbeing and thereby protect their reputational capital
from being harmed due to misunderstandings.
Furthermore, investors may enhance reputation capital by speaking favorably of a
company or by acquiring their shares and thereby initiating an upward spiral in the
company’s market value. Promising recommendations from investment analysts, due to
a company’s engagements in social responsibility, may even lower the cost of capital and
enhance economic returns. On the contrary, investors may threaten reputational capital
through calling in loans, selling off their shares or simply by speaking negatively about

10
 The Relevance of Sustainability for Investors

the company. Social responsibility may help diminish such threats by increasing the
visibility and transparency of the company to investors.
Social responsibility may also contribute to enhanced trust between partners by
increasing familiarity and social integration. Good corporate citizens tend to attract high-
caliber partners since socially responsible companies are expected to have fewer
disruptions in the supply chain from disgruntled customers or employees. On the
downside, partners can threaten the company’s performance and reputation in the case of
defection. But not only is the interrupted flow of products or resources threating, but also
the fact that the negative reputation of partners or contractors may spill over. Responsibly
selecting partners and nurturing a socially responsible relationship to them is thus an
integral necessity to protect reputational capital.
Social responsibility may also intrigue regulators and legislators to behave more
favorably towards them. Through socially responsible activities, firms ingratiate
themselves with the local community and regulators. Socially responsible companies may
experience reduced likelihoods of being reviled and made prey for regulators, especially
if these regulators are members of the community in which the company socially engages
in. Firms with strong regulatory relations may be capable of shaping zoning laws in their
favor, alleviating stringent regulations and otherwise create favorable regulatory
conditions for doing business. Regulators, however, are also in the position to threaten a
company’s reputation capital by setting reporting requirements or by taking legal actions
against them. Compliance programs that disclose the importance of ethical corporate
behavior to the company’s employees and the public not only reduce the risk of
conviction but may also minimize the penalty, should anything ever happen.
Activist groups are also very powerful stakeholders in the creation of reputational
capital. Specifically, customer purchasing behavior and investment decisions may be
influenced by the endorsements of activist groups. An activist group’s seal of approval of
for instance safety, pollution prevention, or equal employment opportunities may directly
translate into improved sales and investments. On the contrary, activist groups may
however also threaten reputational capital through press releases, marches or boycotts
against companies they deem socially irresponsible. Thus, corporate responsibility may
also protect a company from the dangers of activist movements.
Local communities then again, hold the power to protect or act against local
companies. Firms that participate and engage in the welfare of local communities may
enjoy protection from them when threatened by insurgent stakeholders. Alternatively,

11
 The Relevance of Sustainability for Investors

communities may also act against companies if they perceive them to be undermining the
welfare of the community or challenging local values. Companies may protect themselves
from such perceptions of illegitimacy by reducing the social distance and deviance of
values through citizenships such as economic assistance, volunteerism, grants to local
structures or investments in infrastructure.
Finally, the media is able to magnify a company’s actions for other stakeholders
and can thereby impact the other stakeholder’s views and beliefs of the company. Since
media always seek attention-getting stories, socially responsible practices are often great
opportunities to promote a positive company image. Similarly, they are also a mean for
companies to increase familiarity and enhance media relationships in order to protect
themselves from negative media exposure. Familiarity in consequence of having had
positive headlines in relation to corporate responsibility, may also reduce the potential for
misrepresentations or even give the company the benefit of the doubt when discrepant
information comes to the fore.
In conclusion, the theory of reputational capital by Fombrun et al. (2000) provides
an extensive framework of how social responsibility can serve as an instrument by which
companies can cease not only reputational but also strategic and financial opportunities,
whilst at the same time mitigating the corresponding threats. On one side, the theory
provides structured arguments and reasoning for why socially responsible companies
facilitate the execution of corporate strategies, enrich opportunities, buffer from losses
and thereby enhance overall performance and stability. On the other side, the theory’s
premises may easily be translated to the financial world, providing investors with an
argumentation why socially responsible investments are associated with less risk and
potentially even higher returns.

2.2.1.2 The Theory of Moral Capital

In 2005 Paul Godfrey’s has published his theory on the ‘pathway that leads from
philanthropic activity to shareholder wealth’. Within the theory, Godfrey (2005)
considers philanthropic activity as a manifestation of CSR, and shareholder capital as a
measure of CFP. Godfrey’s (ibid, p. 777) theory presents a complex theoretical
explanation to the argument that “good deeds earn chits”. In this context, Godfrey (ibid,
p. 778) has established the following three assertations:

12
 The Relevance of Sustainability for Investors

(1) “that corporate philanthropy can generate positive moral capital among
communities and stakeholders,
(2) that moral capital can provide shareholders with ‘insurance-like’ protection for
many of a firm's idiosyncratic intangible assets, and
(3) that this insurance-like protection contributes to shareholder wealth.”

In their later work, Godfrey et al. (2009) argued that CSR is often viewed as
voluntary corporate actions meant to improve social and environmental conditions, or
even as some sort of corporate grants to stakeholders. Godfrey’s theory challenges the
misconception that such voluntary actions come without strings attached, but instead
argues that they are a method of ‘buying respect’ (ibid.). The theory establishes that CSR
signals a willingness to act philanthropically rather than purely self-interested. When such
signals are received and accepted by the corporation’s stakeholders, companies generate
a positive reputation and thereby accrue moral capital. An important component of moral
capital is known as ‘relational wealth’ which refers to relationship-based intangible assets
such as the affective commitment of employees or the trust of suppliers and partners
(ibid.). Due to its intangible nature, relational wealth can thus not be protected by
traditional insurance markets. According to Godfrey’s theory, however, moral capital
serves as insurance-like protection for a firm's relational wealth (ibid.). The theory argues
that if a company gets involved in behavior which adversely affects or offenses its
stakeholders, moral capital mitigates negative stakeholder assessments and related
punishments or sanctions.
To sum up, Godfrey’s theory thus argues that philanthropic activity can create
shareholder wealth by building up insurance-like positive goodwill. Thus, the theory
clearly indicates that social responsibility may reduce risk by ensuring stakeholder wealth
in the face of negative events. From an investment perspective, this suggests that investors
may benefit from reduced volatility risk when investing in socially responsible funds.

2.2.2 Theories from the Field of Finance

To better understand how sustainability considerations may affect an investment’s

financial return and volatility, the concepts of risk and return have to be analyzed from a
more financial perspective. Thus, the following section outlines three financial theories,
each providing an analytical theoretical perspective on the dynamics of risk and return.

13
 The Relevance of Sustainability for Investors

2.2.2.1 The Modern Portfolio Theory

In the early 1950s Harry Markowitz, an American economist, developed the theory
of ‘portfolio choice’ which proposes investors can maximize portfolio return and
minimize portfolio risk through diversification (Markowitz, 1952). In finance,
diversification refers to integrating a variety of financial instruments within a single
portfolio to minimize the impact that individual securities can have on portfolio
performance (Bodie et al., 2013, p. 149). Across the years Markowitz’s theory has been
developed and evolved to what today is commonly referred to as the Modern Portfolio
Theory. One of the cardinal principles of the theory is the idea of systematic and
unsystematic risk. This principle suggests that diversification essentially only reduces
exposure to firm-specific risk but cannot avoid all risks (ibid.). That means that regardless
of the number of stocks held by a portfolio, common macroeconomic risks, which can
affect virtually all securities, can eventually not be eliminated through diversification
(ibid.). Therefore, the theory differentiates between systematic risks which are common
market risks that are non-diversifiable and unsystematic risks which are firm-specific and
therefore diversifiable (ibid).
The risks which companies are exposed to when disregarding ESG, such as for
instance consumer boycotts, environmental disasters or other costly reputation scandals
are known as ESG risks and are commonly categorized as firm-specific and therefore
diversifiable risks (Hoepner, 2010). According to the Modern Portfolio Theory, ESG
risks may hence be eliminated in a given portfolio simply through diversification. From
a strictly traditional economic perspective, a portfolio’s ESG rating may thus not
significantly influence the portfolio’s level of risk if it is appropriately diversified. In
addition, many economists even argue that integrating ESG criteria in portfolio selection
increases risk since it restricts diversification by limiting the available investment
universe to socially responsible assets (Renneboog et al., 2008). Investors hence diversify
their portfolios in irresponsible, low ESG and consequently risky stock, believing that
diversification will sufficiently reduce their risk exposure. This interpretation may
constitute one of the main reasons why investors tend to disregard ESG in investment
decisions.
Some more critical literature such as by Andreas Hoepner (2010) however deems
this belief as a too simplistic interpretation of the Modern Portfolio Theory. Hoepner
challenges the idea by claiming that the reduction in the investment universe caused by

14
 The Relevance of Sustainability for Investors

integrating ESG criteria in the investment process may likely be offset by the reduced
average specific risk of responsible stock. Consequently, the author claims that „this
positive effect of ESG criteria probably leads best-in-class ESG screened funds to be
better diversified than otherwise identical conventional funds” (Hoepner, 2010, p. 1).
Integrating ESG criteria in portfolio selection and investment decisions may hence serve
as an effective risk management tool, despite reducing the number of selected assets and
increasing the correlation between them.

2.2.2.2 The Capital Asset Pricing Model

Anticipated future returns can rarely be predicted precisely. Every investor faces
the inherent risk that actual returns may deviate from those anticipated at the start of the
investment period. Naturally, investors strive for high returns and low risks of deviations.
The Capital Asset Pricing Model, commonly known and hereafter referred to as ‘CAPM’,
provides a prediction of the relationship between an asset’s risk and its expected return
(Bodie et al., 2013, p. 193). First proposed by William Sharpe (1964) the CAPM is a
centerpiece of financial economics and may also be considered as a development of
Markowitz's Modern Portfolio Theory (ibid.). According to Sharpe’s theory, risk and
return are positively correlated, meaning that assets with higher expected returns entail
greater risks (ibid.). In essence, the theory implies that the higher the risk which the
investor is exposed to, the higher the demanded return should be. This relationship is
widely referred to as the Risk-Return Trade-Off (ibid, p. 10).
Under the terms of the CAPM theory, an investment may thus not generate high
financial returns and comparably low investment risks at the same time. In light of this
thesis’ research question, socially responsible investments should thus not be able to
produce both of the proposed financial advantages, but rather only either superior returns
or reduced risk. Assuming that socially responsible investments are by nature less risky
(as has been indicated by the theories of moral and reputational capital above), would
hence mean that investors would have to give up a portion of their financial return to
compensate for the investment security.

2.2.2.3 The Efficient Market Hypothesis

After Maurice Kendall has discovered that stock price changes are random and
unpredictable in 1953, financial economists have viewed the market as irrational (Bodie

15
 The Relevance of Sustainability for Investors

et al., 2013, p. 234). Economists, however, soon came to understand that random price
movements, in fact, indicate an efficient, rather than an irrational market. They have
based their argument on the assumption that any information predicting the future
performance of stocks should always already be reflected in stock prices (ibid.).
Consequently, the Efficient Market Hypothesis has emerged, proposing that “prices of
securities fully reflect available information about securities” (ibid, p. 235). What is
meant by prices reflecting information is that the prices of assets are formed based on
information available about the assets. As new information about an asset randomly
appears, the asset’s price randomly adjusts, thus ensuring random and unpredictable
movement of prices.
Eugene Fama (1970) has extended the theory, by specifying three versions of the
Efficient Market Hypothesis, distinguishing themselves by the types of information
reflected in the prices. Fama’s specifications are today known as the weak-, semi-strong-
and strong-form of the Efficient Market Hypothesis (Bodie et al. 2013, p. 238). The weak-
form hypothesis asserts that stock prices reflect all information derived from the history
of past trading such as past prices and trading volumes (ibid.). The semi-strong-form
hypothesis has been defined to reflect all publicly available information about the future
of a firm (ibid.). This subset of information may include any relevant data reaching from
the general economy’s inflation rate to the individual firm’s product line or accounting
practices. Finally, the strong-form hypothesis proclaims that stock prices reflect all
relevant information, even including information only available to company insiders
(ibid.).
According to Fama’s (1970) semi-strong-form hypothesis, a company’s publicly
available ESG-related information should hence be fully reflected in the company’s stock
price. This assumption should hold true regardless of whether the ESG-related
information has been disclosed in the company’s nonfinancial reports or reported by
stakeholders such as the media. In light of this paper’s research question, Fama’s semi-
strong-form hypothesis thus indicates that social responsibility information ratings,
among other factors, should impact both financial returns and return volatility. Not only
because prices and thereby returns reflect ESG-related information, but also because new
arriving ESG-related information may cause unpredictable price volatility.

16
 The Relevance of Sustainability for Investors

2.3 Methods

The following section outlines the methodological approaches applied in this thesis.
In order to answer the thesis’ research questions, a combination of both primary and
secondary research methods have been used. The concrete methodological approaches
applied in each of the methods are summarized in the following sections.

2.3.1 Secondary Research

The first share of this thesis’ results is based on secondary data, namely a systematic
literature review. The following two sub-sections outline the data collection process and
the method of analysis that has been used for the literature review.

2.3.1.1 Data Collection

In essence, the secondary research review has been conducted for the sake of getting
an understanding of the current state of empirical research on the relationship between an
investment’s degree of social responsibility and its respective degree of risk and return.
The methodological procedure that was used to conduct the literature review is based on
the ‘Steps of the Systematic Literature Review’ proposed by Luederitz et al. (2016). As
presented in Table 2, the applied procedure consists of five major phases.

Table 2: Systematic Literature Review Procedure (own illustration based on Luederitz et al. (2016, p. 232))
Phases Action
1. Selection Criteria Definition Research questions are translated into a search string
2. Data Gathering Abstracts and bibliographic data of relevant articles are extracted
3. Data Cleaning Abstract are analyzed based on inclusion criteria
4. Data Scoping Full-text of all potentially relevant articles are downloaded
5. Full-Text Review Full-texts are reviewed based and key information is extracted

In the first phase, literature selection criteria were defined by translating the thesis’
two research sub-questions into a search string that could be used to obtain relevant
literature. Accordingly, two separate sets of keywords were determined for the two
individual sub-questions. The main keywords defined to obtain literature answering the
thesis’ first sub-question include ‘Socially Responsible Investments’, ‘SRI’, ‘Volatility’,
and ‘Risk’. Similarly, the main keywords defined to obtain literature answering the thesis’
second sub-question include ‘Socially Responsible Investments’, ‘SRI’, ‘Performance’,
and ‘Return’. Moreover, the search string has been restricted to literature published after

17
 The Relevance of Sustainability for Investors

the year 2000, since sustainability rating schemes of investments have continuously
changed and developed over the past few decades.
Upon defining the search string, the literature search was conducted on the two
databases Web of Science and Google Scholar. During this second phase of the
procedure, the abstracts and bibliographic data of potentially relevant articles were
extracted from the databases. In the following phase, the ‘Data Cleaning’ phase, the
abstracts of the gathered literature were analyzed and sorted out based on the following
two inclusion criteria:

- Is the article based on empirical data?

- Does the article measure the relationship between an investment’s degree of social
responsibility and its respective degree of risk, volatility or performance?

This selection process resulted in an extensive list of empirical articles published

by a variety of peer-reviewed journals. During the fourth phase, the full-text versions of
all articles selected in the previous phase were downloaded from the databases. Finally,
each of these articles was individually reviewed in full length and the key information
including the research question, the method, the findings, and conclusions was extracted
in the last phase of the procedure.

2.3.1.2 Method of Analysis

Since this thesis aims to investigate whether socially responsible investments can
provide investors with a financial advantage in either the form of reduced volatility or
higher returns, the analysis focused on each of these benefits individually. Firstly, the
selected literature investigating the relationship between an investment’s social
responsibility and its investment risks has been reviewed. Thereafter, the selected
literature analyzing the somewhat more controversial relationship between an
investment’s social responsibility and its financial return has been reviewed.
Within these two categories of literature, the main conclusions of all articles were
analyzed and compared. Accordingly, the articles were grouped into categories based on
their conclusions regarding the relationship between an investment’s degree of social
responsibility and its respective volatility or return rates. This has generated a list of
literature, logically assembled according to their main conclusions.

18
 The Relevance of Sustainability for Investors

2.3.2 Primary Research

The second part of the thesis’ results constitutes a statistical analysis of primary
data, the methodological approach of which is clarified in the following two sub-sections.
The first section briefly outlines the content and scope of the dataset as well as the
database from which it has been obtained. The second section summarizes the method of
analysis used to statistically evaluate the data.

2.3.2.1 Database and Dataset

The primary data used in this thesis has been attained from the search engine and
database ‘YourSRI’. This large-scale database, operated by the independent consulting
and research house CSSP AG, is specialized in the field of ESG reporting. Upon inquiry,
CSSP AG has agreed to provide a large dataset exclusively for the research purposes of
this thesis.
The dataset provided by CSSP includes extensive records of a total of 1’517 equity
funds. The funds are categorized into four groups according to their regional focus;
Global, Emerging Market, Switzerland, and India. These regional focuses are
distinguishable by the variability in stock exchanges at which the individual stocks of a
given fund are listed. Whereas the funds with the regional focus ‘Switzerland’ include
stocks listed at only the Swiss Stock Exchange, the funds with the regional focus ‘India’
include stocks listed at only the Indian Stock Exchange. However, funds with the regional
focuses ‘Global’ include a combination of stocks listed at the stock exchanges of different
Developed Market countries. On the contrary, funds with the regional focus ‘Emerging
Market’ include a combination of stocks listed at the stock exchanges of different
Emerging Market countries.
For the sake of simplicity, the four categories are hereafter going to be referred to
as the Developed-, the Emerging-, the Swiss- and the Indian category of funds. Table 3
provides a broad outline of the size and composition of each of these categories. As
demonstrated by Table 3, the Developed category clearly encompasses the largest number
of funds (n=1120), followed by the Emerging (n=263), the Swiss (n=104) and the Indian
category (n=30).

19
 The Relevance of Sustainability for Investors

Table 3: Composition of the Four Equity Fund Categories (own illustration)

Category Number of Funds Composition of Funds

Developed 1120 stocks listed in more than one developed market countries
Emerging 263 stocks listed in more than one different emerging market countries
Swiss 104 stocks listed in Switzerland
Indian 30 stocks listed in India

The full dataset provided by CSSP AG, covering the total 1517 funds from all four
categories, is attached in Appendix 1. It encompasses the following four key variables on
each of the funds:

1. Lipper Global Classification

Classifies funds according to the markets or segments they are invested in
2. ESG Score
ESG Score between 0 (worst) and 10 (best) as of December 2018
3. Volatility
Annualized 3-year Standard Deviation3 in EUR % as at 31.12.2018
4. Performance
Annualized 3-year Performance4 in EUR % as at 31.12.2018

Hence, the dataset consists of a combination of quantitative and qualitative

indicators on each of the 1517 equity funds categorized in Table 3. As elaborated in the
following section, each of these four indicators was used to conduct a holistic analysis of
the relationship between an investment’s degree of social responsibility and its respective
volatility and return rates.

2.3.2.2 Method of Analysis

As depicted by Table 4, the statistical analysis preceded in three main stages. The
data analysis starts off with a statistical overview of the dataset. To provide a broad
outline of the data, the mean (μ) and standard deviation (σ) of the ESG scores, volatility
rates, and performance rates were computed for each of the four regional categories.

3
Calculated as =7(1 + s3 ) × (1 + s; ) × (1 + s<) where sn = standard deviation in year n
4
Calculated as =7(1 + 𝑟3 ) × (1 + 𝑟;) × (1 + 𝑟< ) where rn = return in year n

20
 The Relevance of Sustainability for Investors

Table 4: Three-Stage Procedure of the Statistical Analysis (own illustration)

Procedure Focus of Analysis Measurement
Stage 1 Statistical Overview Mean & Standard Deviation

Stage 2 Correlation Between ESG and Volatility Spearman’s Rho & p-Value
Correlation Between ESG and Performance Spearman’s Rho & p-Value

Stage 3 Outliers and Clusters Lipper Global Classification

To evaluate whether socially responsible investments may generate superior returns

or reduced risk, the analysis is thereafter separated into two main sections, as outlined in
Stage 2 of Table 4. Firstly, the relationship between social responsibility and risk is
examined by analyzing the correlation between the fund’s ESG scores and respective
volatility rates. Secondly, the relationship between social responsibility and return is
investigated by analyzing the correlation between the fund’s ESG scores and respective
performance rates. To determine the correlation between these variables, two numerical
measures are computed; the Spearman's rank correlation coefficient and the respective
p-Value of the correlation.
The Spearman's rank correlation coefficient (hereafter referred to as ‘Spearman’s
Rho’) has been chosen as the appropriate measure of association since most of the
correlations within the thesis’ dataset are not necessarily linear but rather monotonic. In
fact, the Spearman's Rho is specifically used to measure the strength and direction of
monotonic relationships and is numerically computed as follows (Lund Research Ltd,
2018).

6 ∑ 𝑑;
𝑅ℎ𝑜 = 1 − <
𝑛 − 𝑛
Where,
n = number of pairs
d = difference in paired ranks

Essentially, the Spearman’s Rho can take values from +1 to -1 (ibid.). A coefficient
of +1 indicates a perfect positive correlation between two variables, meaning that as one
increases, the other does so as well. Likewise, a coefficient of -1 implies a perfect negative
relationship of variables, where the increase of one variable causes a decrease in the other.
Consequently, a coefficient of zero suggests no correlation at all. Hence, the closer the
coefficient is to zero, the weaker the correlation between the two variables (ibid.).

21
 The Relevance of Sustainability for Investors

In order to determine whether the computed correlation coefficients are statically

significant, the respective p-Values5 have been analyzed. Statistical significance may be
defined as the “likelihood that a relationship between two or more variables is caused by
something other than chance” (Kenton, 2019, para. 1). The p-Value is a common measure
of statistical significance, defining the probability that random chance could explain a
result (ibid.). Generally, results are considered to be statistically significant if their p-
Value, meaning the probability of the phenomenon being random, is less than 0.05 (ibid.).
Often, academic research, however, refers to the three p-Value thresholds 0.10, 0.05 and
0.01 to describe different levels of significance (Bauer et al., 2005).
As exhibited in Table 4, the third and last stage of the procedure concludes the
analysis with an examination of any prominent outliers or clusters detected in the previous
stage. To determine whether there are any similarities among the funds with diverging
patterns that may explain their occurrence, the outliers and clusters are studied in light of
their Lipper Global Classification. As previously mentioned, these classifications
categorize funds according to the financial markets or specific segments that the funds
are invested in. Therefore, analyzing the Lipper Global Classifications of the outliers and
clusters serves to determine whether they may share certain investment characteristics
that could explain their unusual behavior. Any such common characteristics which
indicate that the occurrence of the outliers or cluster may be attributed to specific factors
other than the ESG score suggest that the determined correlations may be distorted. Thus,
the outliers and clusters recognized to share such characteristics are removed from the
dataset, and a second round of Spearman’s Rho and p-Value are calculated to correct any
such distortions.

5
Computed with software (no numerical formula available)

22
 The Relevance of Sustainability for Investors

3 Findings
The following chapter presents the findings of this thesis. The chapter is separated
into two main parts; the results of secondary research, namely the literature review
followed by the results of primary research.

3.1 Secondary Research: Literature Review

With socially responsible investments becoming ever more prevalent in the

financial market, literature has frequently explored the topic’s most fundamental
question; whether investors pay a price for investing socially responsible. The two most
essential indicators in this debate are analyzed in this thesis; risk and return. Whereas
there seems to be a general consensus on the fact that socially responsible investments
are generally less risky due to reduced volatility, empirical studies on returns present
contradictory results. The following sections outline the most relevant literature in light
of the correlations between social responsibility and risk, as well as between social
responsibility and return.

3.1.1 Risk Profiles of Socially Responsible Investments

In light of the question of whether socially responsible investments bear a lower

risk to investors, a vast majority of literature suggests a negative relationship between a
portfolio’s social responsibility and its volatility. In other words, this thread of literature
suggests that socially responsible investments are less volatile than traditional
investments. Understanding that CSR, by its very nature, is concerned with handling the
impact that corporate activities may have on stakeholders, these findings seem very
reasonable. Dunn et al. (2018, p. 5) even argued that “it is logical to postulate that
companies neglecting to manage their ESG exposures may be exposed to higher risk”.
Such risks may include a lawsuit in consequence of environmental damage caused by
corporate activities, or sales a drop in the wake of a poor working conditions scandal.
Aiming to investigate risk and return implications of integrating ESG
considerations in investment decisions, Dunn et al. (2018) have analyzed a large number
of stocks from the ‘Russell 3000’, the ‘MSCI World ex US’ and the ‘MSCI Emerging’
indices. The results of their extensive analysis show that the volatility of stocks with high
ESG exposures is up to 15% lower than of stocks with low exposures. Similarly, Byun

23
 The Relevance of Sustainability for Investors

(2018) examined the relation between ESG practices and firm value among Korean listed
firms over the period of 2011 to 2014. The study’s findings show that companies’ ESG
scores are negatively correlated to firm risk as measured by abnormal stock return. The
study concluded that “firms with better ESG practices are generally more stable with
lower potential firm risk” (Byun, 2018, p. 135).
In line with that, Czerwińska and Kaźmierkiewicz (2015) have analyzed the ESG,
volatility and return rates of 853 companies listed at the Polish stock exchange and
determined that stock issued by companies with higher ESG rating was marked by lower
return rate volatility and hence reduced investment portfolio risk. The authors ascribe
these results to the greater degree of transparency achieved by companies disclosing their
non-financial data. Moreover, Harjoto et al. (2017) have investigated the impact of CSR
and institutional ownership on stock return volatility. Examining a list of U.S. firms
across a timespan from 1994 to 2012, the researchers have determined that CSR activities
reduce volatility up to a certain threshold, whereupon additional investment in CSR only
increases volatility again.
Furthermore, Jo and Na (2012) have analyzed various U.S. firms between 1991 and
2010 to determine the impact of CSR on firm risk among companies in controversial
industry sectors such as gambling or tobacco. The results of the research indicate that
CSR activities negatively impact firm-specific risk, suggesting that socially responsible
investments may generate more favorable risk profiles than conventional investments.
Also, both Lee and Faff (2009) and Luo and Bhattacharya (2009) provided evidence of
corporate social activities leading to lower unsystematic risk.

3.1.2 Return Rates of Socially Responsible Investments

Unlike concerning risk, there is not yet a general consensus on the relationship
between an investments degree of social responsibility and its rate of return. Currently,
there are three threads of literature on this debate. Some research suggests that socially
responsible investments generate lower returns than traditional investments and thus
claim that social responsibility and return are negatively correlated. On the contrary,
another strand of literature suggests that socially responsible investments generate higher
returns than traditional investments and thus indicates that social responsibility and return
are positively correlated. The largest body of research, however, proposes that returns on
socially responsible investment are not at all different from those of more conventional

24
 The Relevance of Sustainability for Investors

investments, and thereby argues that social responsibility and return are not at all
correlated but rather independent from each other. Therefore, the following sections are
going to provide an outline of each of the three strands of literature.

3.1.2.1 Claims of a Negative Correlation Between Social Responsibility and Return

In alignment with basic economic intuition, a large body of literature argues that
socially reponsible investments generate lower returns than more conventional
investments. Empirical research by Brammer et al. (2006) provides evidence that
investors sacrifice return when limiting their investment universe to socially responsible
companies. Using data from the Ethical Investment Research Service the study examined
a sample of U.K. firms and observed a negative link between CSR performance and
financial returns (ibid.). The research concludes that the lower the performance in social
aspects, the higher the return of an investment (ibid.).
In accordance to that, Hong and Kacperczyk (2009) investigated a list of 193
publicly traded ‘sin’ stocks involved in the production of alcohol, tobacco, and gambling,
during the period from 1926 to 2006. Their results indicate that ‘sin’ stocks generate
higher expected returns than otherwise comparable stocks (ibid.).
Even most recent research such as the previously discussed study by Dunn et al.
(2018, p. 10) suggests that “stocks with the worst ESG exposures tend to earn somewhat
higher returns”. The most rudimentary reasoning for this evidence may be that the
increase in social considerations among investors has caused a reduction in the demand
for socially controversial shares, and thereby lead to a decline in prices and an increase
in average returns of controversial stocks (ibid.). Alternatively, the higher returns may
also be seen as a premium received by investors to compensate for the additional risks
and the displeasure associated with holdings such stocks (ibid.).

3.1.2.2 Claims of a Positive Correlation Between Social Responsibility and Return

Another strand of literature, on the other hand, has suggested that aligning
investment activities with the broader interests of society may provide investors with
above-average returns. According to the previously mentioned study conducted by
Czerwińska and Kaźmierkiewicz (2015, p. 211), “shares issued by companies with higher
ESG ratings were distinguished by an over-average return rate”. The authors attribute this
trend to higher market valuations of socially responsible companies (ibid.). Furthermore,

25
 The Relevance of Sustainability for Investors

Rodriguez-Fernandez (2016) has investigated a sample of 121 companies on the Madrid

Stock Exchange. The study has established a bi-directional relationship between CSR and
financial performance. Firms with better CSR activities have been found to generate
improved financial performance, whilst in turn, improved financial performance has been
found to lead to improved CSR behavior (ibid.).
Exceptionally strong correlations between an investment’s social responsibility and
above-average returns have been reported during periods of crisis. Empirical research has
shown that socially responsible portfolios have significantly outperformed the market
portfolio during crisis periods. Latest research conducted by Lins et al. (2017) has
investigated whether social capital pays off during a crisis of trust. Their results provide
evidence that high-CSR firms generated between four and seven percentage points higher
returns relative to low-CSR firms during the 2008–2009 financial crisis but cease to do
so during the recovery period after the crisis (ibid.).
Similarly, Tripathi and Bhandari (2016) examined nine large Indian stock portfolios
to determine whether socially responsible companies perform better than general
companies during pre-crisis, crisis and post-crisis periods. The authors established that
indeed, socially responsible portfolios did generate significantly higher returns during
crisis periods (ibid.). According to Tripathi and Bhandari (2016), socially responsible
investments may thus be used as safe investment vehicles during times of crisis. Likewise,
Nofsinger and Varma (2014) analyzed 240 U.S. domestic equity mutual funds during the
period from 2000 to 2011. Their results show that socially responsible funds clearly
outperform conventional funds during periods of market crises, whilst conventional funds
tend to outperform socially responsible funds during normal market conditions (ibid.).

3.1.2.3 Claims of the Independence of Social Responsibility and Return

The seemingly largest body of relevant literature argues that returns on socially
responsible investments are not significantly different from those of more conventional
investments. Bauer et al. (2005) reviewed and extended previous research on the
performance of 103 German, U.K. and U.S. ethical mutual funds between 1990 and 2001.
Their results indicate no significant differences in risk-adjusted returns between ethical
and conventional funds (ibid.). Similarly, Revelli and Viviani’s (2015, p. 158) meta-
analysis of 85 studies and 190 experiments, determined that “the consideration of

26
 The Relevance of Sustainability for Investors

corporate social responsibility in stock market portfolios is neither a weakness nor a

strength compared with conventional investments”.
Along this line of research, a stock’s or fund’s ESG rating is thus considered
unrelated to its rate of financial return. Upon analyzing the ESG data of various U.S.
companies between 1991 and 2012, Halbritter and Dorfleitner (2015) have yet again
found that there are no significant differences between the return rates of companies with
high and low ESG rankings. Likewise, a study by Cortez et al. (2009), examining 88
socially responsible funds from seven European countries, has determined that
performance of European socially responsible funds are neutral in relation to both
conventional and socially responsible benchmarks. These findings suggest that investors
“can add social screens to their investment choices without compromising their financial
performance” (Cortez et al., 2009, p. 573).
The same trend has also been observed in emerging markets. Empirical research
conducted in Brazil indicates that also investors in emerging markets can accommodate
their ethical values without scarifying portfolio performance (Ortas et al., 2012).
Comparing the performance of the Brazilian Corporate Sustainability Index (BCSI) with
its official benchmark, the Bovespa Index, the study has found that during bullish market
periods, investing in the BCSI does not result in any risk or return disadvantages (ibid.).
Similarly, Rehman et al. (2016) have investigated the difference in risk and return
between ESG indices and conventional composite indices of eight Asian countries. Their
results once more show no significant differences in risk-adjusted returns between the
ESG indices and the composite indices (ibid.). Consequently, socially responsible
investment opportunities have been deemed equally attractive for investors as
conventional stocks (ibid.).

3.2 Primary Research: Statistical Analysis

The following section presents the results obtained from the statistical analysis of
the data provided by CSSP AG. Hence, all information within this chapter descends from
the large dataset provided exclusively for the research purposes of this thesis. Firstly, the
section provides an overview of the statistical data used for the analysis. Thereafter, the
correlations between funds’ ESG scores and volatility, as well as between ESG scores
and return are statistically analyzed. Finally, any prominent outliers or clusters are

27
 The Relevance of Sustainability for Investors

examined in light of their Lipper Global Classification, to determine whether there are
any similarities among the funds with diverging patterns.

3.2.1 Statistical Overview

When observing the mean values of each of the three variables under investigation
in this analysis (ESG score, volatility, and performance) clear variations are recognizable
among the four regional categories. As demonstrated by Table 5, the funds from the
Developed and Swiss categories show generally higher average ESG scores (μ=5.8 and
μ=6.5) than the funds from the Emerging and Indian categories (μ=4.7 and μ=4.8). On
the contrary, the average level of performance is significantly higher among funds from
the Emerging and Indian categories (μ=5.2 and μ=5.1) than among funds from the
Developed and Swiss categories (μ=2.6 and μ=2.3). With the exception of the comparably
high level of average volatility among funds from the Indian category (μ=16.7), the mean
volatility level is relatively consistent among the categories.

Table 5: Mean (μ) & Standard Deviation (σ) of the ESG Scores, Volatility, and Performance Rates (own illustration)

Developed Emerging Swiss Indian

(n=1120) (n=263) (n=104) (n=30)
μ σ μ σ μ σ μ σ
ESG Score 5.8 0.7 4.7 0.5 6.5 0.5 4.8 0.4
Volatility 11.7 4.2 11.4 1.3 10.4 1.5 16.7 1.2
Performance 2.6 3.5 5.2 2.9 2.3 2.1 5.1 2.1

The standard deviation of the individual values in each regional category is

observed to be generally rather low (see Table 5). This means that the ESG, Volatility
and Performance values among funds within one regional category, vary comparatively
little. The largest standard deviations have been observed among the volatility and
performance of the funds in the Developed category (σ =4.2 and σ =3.5). Considering
that this category is also significantly larger than the others (n=1120), it appears logical
that the individual values are more spread out than in other categories.

3.2.2 The Correlation Between ESG Scores and Volatility

In order to understand whether socially responsible investments are significantly

less than their more conventional counterparts, the ESG scores and respective volatility
rates of the entire data have been plotted on a scatter-diagram with regional categories

28
 The Relevance of Sustainability for Investors

distinguished by colors in Figure 2. The regional categories clearly distinguish

themselves from each other in terms of both volatility and ESG score. These distinctions
reflect the mean measurements presented in Table 5 of the prior section. The graph shows
that the ESG scores of funds in the Developed and Swiss category generally reach higher
values than those in the Emerging and Indian category. Furthermore, the graph visualizes
the slightly higher volatility rates among funds in the Indian and Developed categories,
as opposed to the funds in the Emerging and Swiss categories. Particularly interesting
also, is the pattern of outliers among the funds in the Developed category, with unusually
high volatility rates. The abnormal behavior of these outliers is discussed in detail in
section ‘3.2.4. Clusters and Outliers’.

ESG Score vs. Volatility

45
40
35
30
Developed
Volatility

25
20 Emerging

15 Switzerland

10 India

5
0
0 1 2 3 4 5 6 7 8 9
ESG Score

Figure 2: ESG Scores and Volatility Rates of the Entire Dataset (own illustration)

Despite no indication of a strong linear correlation, Figure 2 visualizes a slight

propensity towards a weak negative relationship between funds’ ESG scores and
volatility rates. It appears that as the ESG scores of funds increase, there is generally only
a slight decrease in volatility. In fact, the outcomes of the Spearman's Rho between the
funds’ ESG scores and volatility levels, as presented in Table 6, provide numerical
evidence for a negative relationship between the variables. Interestingly, they show strong
distinctions of correlation strengths among the different regional categories. Whereas
there is almost no correlation at all observable in the Indian category (Rho = -0.026), ESG
and volatility prove to be strongly correlated in the Swiss category (Rho = -0.718).
Meanwhile, the funds in the Developed and Emerging categories display a comparatively

29
 The Relevance of Sustainability for Investors

weaker correlation between ESG and volatility with coefficients of -0.376 and -0.269
respectively.

Table 6: Spearman's Rho and p-Values of the Correlations between ESG Scores and Volatility (own illustration)

ESG Score vs. Risk

Developed Emerging Swiss Indian

Sample Size (n=1120) (n=263) (n=104) (n=30)
Spearman’s Rho -0.376 -0.269 -0.718 -0.026
p-Value 8.6e-38 1.2e-5 1.8e-23 0.996

The p-Values as listed in Table 6 provide a clear picture of the significance of the
given correlations. With the exception of the Indian category, all correlations are highly
significant with p-Values well below 1%. This means that the likelihood that the
correlations are due to random chance, is less than 1%. In contrast, the p-level of the
correlation coefficient determined among the Indian category is almost 100%, meaning
that these results are almost certainly only due to chance. This is because the correlation
coefficient nearly equals 0, which by itself already shows that there is no correlation
observable between the two variables.

Developed Emerging
50 20
40 15
Volatility

Volatility

30
10
20
10 5
0 0
0 5 10 0 5 10
ESG Score ESG Score

Swiss Indian
20 20
15 15
Volatility

Volatility

10 10
5 5
0 0
0 5 10 0 5 10
ESG Score ESG Score

Figure 3: ESG Scores and Volatility Among the Different Regional Categories (own illustrations)

30
 The Relevance of Sustainability for Investors

As visualized in Figure 3, Switzerland is the only category showing a fairly linear

relationship between the ESG score and volatility. Although the remaining categories do
not show any clear indications of a linear relationship, the Developed and Emerging
categories certainly suggest a weak, negative monotonic relationship between the two
variables.
In light of the question whether socially responsible investments bear a lower risk
to investors, it may thus be concluded that there is clearly a significant and overall
negative correlation between ESG and volatility among the observed dataset. It must,
however, be stated that the strength of the relationship varies considerably between
regional categories ranging from almost no correlation at all among the Indian category
to strong negative linear correlations among the Swiss category.

3.2.3 The Correlation Between ESG Scores and Return

In order to understand whether socially responsible investments may generate

higher returns than conventional investments, the ESG scores and performance rates of
the entire data have been plotted on a scatter diagram with regional categories
distinguished by colors in Figure 4. Yet again, the categories distinguish themselves from
each other in a fairly clear manner and in accordance with the mean measurements
presented in Table 5. Once more, the graph shows that the Indian and Emerging category
have generally lower ESG scores than their counterparts in the Developed and Swiss
categories. Specifically, interesting is the fact that the funds in the Developed category
generate both the maximum and minimum amount of performance. In fact, the lowest
and highest levels of performance are not only produced by funds from the same regional
category, but also by funds with roughly the same ESG score. Likewise, funds in the
Emerging category display both very high and low performance rates at similar levels of
ESG.
Consequently, Figure 4 indicates that there is no, or at most a very faint correlation
between ESG and performance among the four regional categories. Not even a slight
propensity towards a weak negative relationship is visible to the unaided eye. Thus, there
seems to be no overarching trend among the data displayed in the diagram, which would
imply a substantial correlation between sustainability and return.

31
 The Relevance of Sustainability for Investors

ESG Score vs. Performance

25

20

15

10
Performance

Developed
5 Emerging
Switzerland
0
0 1 2 3 4 5 6 7 8 9 India
-5

-10

-15
ESG Score

Figure 4: ESG Scores and Performance Rates of the Entire Dataset (own illustration)

The outcomes of the Spearman's Rank Correlation (Rho) between the ESG scores
and performance levels, as presented in Table 7, indicate that the only moderately strong
correlation between the two variables exists in the Swiss category with a correlation
coefficient of -0.585. In marked contrast to the Swiss category, the funds in the
Developed category show essentially no correlation at all (Rho= -0.004), whereas the
funds in the Indian category even show a slight tendency towards a positive correlation
(Rho = 0.175).

Table 7: Spearman's Rho and p-Values of the Correlations between ESG Scores and Performance (own illustration)

ESG Score vs. Return

Developed Emerging Swiss Indian

Sample Size (n=1120) (n=263) (n=104) (n=30)
Spearman’s Rho -0.004 -0.114 -0.585 0.175
p-Value 0.136 0.165 1.7e-10 0.829

Additionally, the p-Values as listed in Table 7 indicate that among all categories
only the correlation in the Swiss category can be considered statically significant with a
p-Value well below 1%. The p-Values of all other categories are higher than 10% and
thus regarded as insignificant. This essentially means that most of the results seem to be
largely affected by random chance rather than by an actual correlation between variables.

32
 The Relevance of Sustainability for Investors

The scatter diagrams of the individual regional categories as visualized in Figure 5

yet again show that among all four regional categories, only the funds in the Swiss
category exhibit tendencies of a clear correlation between ESG and performance. It
appears that as ESG scores of funds in the Swiss category increase, there is generally a
slight decrease in performance. Specifically, interesting is also the distribution pattern of
the data within the Swiss category. Upon closer consideration, it is visible that the data
points are distributed along two vertical clusters, which will be analyzed in more detail
in section ‘3.2.4. Clusters and Outliers’.

Developed Emerging
30 15
20 10
Performance

Perormnace
10 5
0 0
0 5 10 0 5 10
-10 -5
-20 -10
ESG Score ESG Score

Swiss Indian
15 15
Performance

10 10
Performance

5 5

0
0
0 5 10
0 5 10
-5
ESG Score ESG Score

Figure 5: ESG Scores and Performance Among the Different Regional Categories (own illustrations)

Concerning the question of whether socially responsible investments generate

higher returns, it may thus be concluded that there is only a very faint overall negative
but mostly insignificant correlation between ESG and performance among the observed
dataset. Furthermore, the results show that the strength of the relationship is so very weak
in most regional categories, that it may be deemed inconclusive even if it were to be
statistically significant. An exception is obviously necessary for the Swiss category,
where the correlation is not only statistically significant but certainly also strong enough
to be considered meaningful. Overall, it may hence be ascertained that both the
significance and the strength of the relationship between ESG and performance strongly

33
 The Relevance of Sustainability for Investors

varies between regional categories, indicating that the relationship is doubtlessly subject
to third parameters which have not been considered in this evaluation.

3.2.4 Outliers and Clusters

During the foregoing analysis, two unusual patterns have been recognized among
the dataset. Firstly, the Figure presented in the previous section, has visualized that there
are clear outliers in the Developed category exhibiting unusually high rates of volatility.
Secondly, the Figure 5 has shown that the dataset of the Swiss category is divided into
two clear vertical clusters. To determine any possible explanations for the occurrence of
these two abnormal patters, the outliers and clusters need to be analyzed in light of their
Lipper Global Classifications. These classifications, created by Thomson Reuters Lipper,
categorize funds according to the financial markets or specific segments in which they
are predominately invested in. Understanding what markets or segments the funds with
unusual behavior are invested in, provides important insight into the possible cause of the
unusual behavior.
Starting with the volatility outliers in the Developed category, it must be understood
that the 1120 funds captured in this category are each assigned to one of 30 Lipper Global
Classifications. When examining the Classifications of the volatility outlier funds in the
Developed category, it becomes apparent that a large majority of these funds are within
the Lipper Global Classification ‘Equity Sector Gold & Precious Metals’. Figure 6
visualizes this distinction by highlighting all funds with this classification as blue data
points.
This insight leads to the assumption that the high volatility among these outliers
may not necessarily be a consequence of low ESG scores, but rather a result of the
industry the funds are invested in. This assumption is only accentuated by the fact
commodity markets such as the precious metals sector are commonly known to be highly
volatile by nature (Palmer, 2019). Therefore, the outliers suggest that the relationship
between ESG scores and volatility rates among Developed category may be distorted by
the naturally volatile nature of funds invested in the gold and precious metals sector.

34
 The Relevance of Sustainability for Investors

Developed
45
40
35
30
Volatility

25
20
15
10
5
0
0 2 4 6 8 10
ESG Score

Rest Equity Sector Gold & Precious Metals

Figure 6: Volatility Outliers within the Developed Category (own illustration)

Consequently, the funds with the Lipper Global Classification ‘Equity Sector Gold
& Precious Metals’ have been removed from the dataset and a second round of correlation
coefficients and p-Values have been calculated for both the relationship between ESG
and volatility as well as ESG and performance. As presented in Table 8, the removal of
the outliers has generated a new category named ‘Developed excl. Gold&Prec Metals’,
with a slightly lower correlation coefficient between ESG and volatility (Rho= -0.348).
Additionally, also the correlation coefficient between ESG and performance has been
altered not only to an even smaller negative figure but actually to a positive coefficient
(Rho= 0.036). In terms of significance, the p-Values as listed in Table 8 show that the
correlation between ESG and volatility is still highly significant with a p-Value well
below 1%, whereas the correlation between ESG and performance has become even less
significant than before.

Table 8: Spearman's Rho and p-Values Among the Original and Restricted Developed Category (own illustration)
Developed Developed excl. Gold&Prec Metals
(n=1120) (n=1096)
ESG vs. ESG vs. ESG vs. ESG vs.
Volatility Performance Volatility Performance
Spearman’s Rho -0.376 -0.004 -0.348 0.036
p-Value 8.6e-38 0.136 6.7e-35 0.404

35
 The Relevance of Sustainability for Investors

Similarly, the 104 funds captured in the Swiss category are each assigned to one of
two Lipper Global Classifications; either the ‘Equity Switzerland’ or the ‘Equity Swiss
Sm&Mid Cap’ classification. When studying the two vertical clusters in the Swiss
category, it becomes apparent that each cluster is represented by one of the two Lipper
Global Classifications as indicated by Figure 7. The clusters formed through the small-
and mid-capitalization funds are characterized by generally lower ESG scores and both
higher volatility and performance rates than the funds classified as ‘Equity Switzerland’.

Swiss
ESG vs. Volatility
ESG vs. Performance
16
12
14
10
12 8
10 6
Performance
Volatility

8 4
6 2
4 0
2 -2 4 5 6 7 8
0 -4
4 5 6 7 8 ESG Score
ESG Score
Equity Swiss Sm&Mid Cap Equity Switzerland

Figure 7: Volatility and Performance Clusters Among the Swiss Category (own illustration)

This insight indicates that the high rates of volatility and performance among the
funds in the Swiss Category may not actually be a result of lower ESG rates, but rather
to do with the capitalization size of the assets in which the funds are invested. Again, this
assumption is only accentuated by the fact that small- and mid-capitalization investments
are commonly known to be more volatile than large-capitalization assets (Segal, 2018).
Accordingly, the funds with the Lipper Global Classification ‘Equity Swiss
Sm&Mid Cap’ have been removed from the dataset and again, a second round of
correlation coefficients and p-Values have been calculated. As listed in Table 9, the
removal of the ‘Sm&Mid Cap’ cluster has generated a new category named ‘Swiss excl.
Sm&Mid Cap’, with a substantially lower correlation coefficient between ESG and
volatility (Rho= -0.331) and between ESG and performance (Rho= -0.232). This vast
transformation demonstrates just how distortive the ‘Sm&Mid Cap’ funds have been, and
thereby how influential third factors can be on the correlation between two variables.

36
 The Relevance of Sustainability for Investors

Although the removal of the cluster has decreased the statistical significance of the
correlation between ESG and Volatility, the correlation coefficient of the new dataset is
certainly still statistically significant with a p-Value well below 1%. On the contrary, the
statistical significance of the correlation between ESG and Performance has been
decreased so extensively, that the correlation may no longer be considered significant
with a p-Value of over 20%.

Table 9: Spearman's Rho and p-Values Among the Original and Restricted Swiss Category (own illustration)

Swiss Swiss excl. Sm&Mid Cap

(n=104) (n=74)
ESG vs. ESG vs. ESG vs. ESG vs.
Volatility Performance Volatility Performance
Spearman (Rho) -0.718 -0.585 -0.331 -0.232
p-Value 1.8e-23 1.7e-10 3.1e-4 0.280

When comparing these new correlation coefficients, with the residual categories
(see Table 10), the overall consistency among the values is now much greater. Whereas
the Swiss category had exhibited exceptionally high correlation coefficients before, the
new values now fit much better into the overall picture. As demonstrated in Table 10 also
the new p-Value of the correlation between ESG and return among the Swiss funds
(p=0.28), now fits the values of the other regional categories much better.

Table 10: Spearman's Rho and p-Values Comparison Among the Categories (own illustration)
Developed excl. Swiss excl.
Emerging Indian
Gold&Prec Metals Sm&Mid Cap
ESG Score vs. Volatility
Spearman’s Rho -0.348 -0.269 -0.331 -0.026
P-value 6.7e-35 1.2e-5 3.1e-4 0.996
ESG Score vs. Performance
Spearman’s Rho 0.036 -0.114 -0.232 0.175
p-Value 0.404 0.165 0.280 0.829

Thus, the removal of outliers and unusual clusters has smoothed the findings into
more consistent results allowing for more generalized conclusions to be made. According
to Table 10, it can be stated that the results of this statistical analysis provide evidence of
a weak, but statistically significant correlation between ESG and volatility, whereas no
statistically significant relationship has been determined between ESG and return.

37
 The Relevance of Sustainability for Investors

4 Discussion
This chapter aims to discuss and interpret the findings obtained in the previous
section. The discussion is set off with an interpretation of the inconsistencies among the
results of both the literature review and the statistical analysis. Thereafter the key findings
of the literature review and the statistical analysis are discussed and compared to establish
the overarching trend among the results. On the grounds of these findings, the thesis’
hypotheses are then accepted in the following section. Subsequently, a theoretical
rationale aims to provide an explanation of this thesis’ results in light of the theories and
models introduced in the Theoretical Framework. Finally, the results are discussed from
an investor’s perspective to highlight the findings’ relevance to investors.

4.1 Interpretation of Inconsistencies

Since the results obtained from both the literature review and the statistical analysis
are marked by some apparent inconsistencies, the following section aims to discuss
possible reasons which might have caused the inconsistencies among the findings.
Whereas the first section focuses on rationalizing the inconsistencies among the results
of the literature review, the second section sheds light on possible causes for the
inconsistencies among the results of the statistical analysis.

4.1.1 Inconsistencies Among the Results of the Literature Review

When evaluating the findings of the literature review, the most prominent question
arising is why there seems to be no consensus on the relationship between an investment’s
degree of social responsibility and its rate of return among the reviewed empirical
literature. Revelli and Viviani (2015) argued that the variety of results obtained in
empirical literature largely reflects the heterogeneity of socially responsible investments
and the methodologies used to measure its effects. Possible factors influencing the
performance of socially responsible investments and therefore causing heterogeneity
among the findings of different studies include differences in investment universes,
investment horizons, market stability, and responsibility measurement schemas.
The investment universe investigated in a given study may vary strongly between
research. Table 11 lists some of the empirical research studied in the prior literature
review and their respective investment universes. Evidently, the studies have investigated

38
 The Relevance of Sustainability for Investors

very diverse areas ranging from completely international to country-specific investment

universes. As proposed by Rehman et al. (2016), one of the factors constituting to the
differences in the performance of socially responsible investments among studies may be
varying dissemination standards for ESG-related information in different markets.
According to Fama’s (1970) semi-strong-form of the Efficient Market Hypothesis
discussed in the theoretical basis, stock prices should reflect all publicly-available
information, including ESG-related information. Cross-country differences in
information disclosure standards may hence lead to discrepancies in the performance of
socially responsible investments among studies, since the publicly-available information
may vary between countries or markets.
Additionally, the investment horizon of a socially responsible investment, meaning
the length of time an investor holds the asset, may also significantly impact the financial
performance of the investment. According to the ‘learning effect’ proposed by Bauer et
al. (2005), socially responsible investments tend to underperform in the short-term, catch
up in the medium-term and then outperform conventional investments in the long-term.
Thus, a long-term investment horizon seems to be fundamental to the financial success
of socially responsible investments (Revelli & Viviani, 2015). The vast variations in
investment horizons among the empirical research, summarized in Table 11, may hence
also contribute to explaining the heterogeneity in the empirical results.

Table 11: Variations in Investment Universes and Investment Horizons Among Empirical Research (own illustration)
Study Investment Universe Investment Horizon
Cortez, Silva, & Areal (2009) Europe 1996 – 2007
Czerwińska & Kaźmierkiewicz (2015) Poland 2010 – 2013
Dunn, Fitzgibbons, & Pomorski (2018) International 2007 – 2015
Halbritter & Dorfleitner (2015) United States 1991 – 2012
Hong & Kacperczyk (2009 International 1980 – 2006
Lins, Servaes, & Tamayo (2017) United States 2008 – 2009
Ortas, Moneva, & Salvador (2012) Brazil 2006 – 2010
Rehman et al. (2016) Asia 2002 – 2014
Tripathi & Bhandari (2016) India 2005 – 2013

Moreover, the general stability of an economy may considerably influence the

financial performance of socially responsible investments. As the literature review has
shown, there seems to be a clear trend that socially responsible investments perform better
during crisis periods as compared to conventional investments. According to Nofsinger
and Varma (2014), social capital built through CSR activities matters predominantly in
periods during which public trust in companies, capital markets, and institutions declines.

39
 The Relevance of Sustainability for Investors

Providing evidence that high-CSR firms outperformed low-CSR firms during the 2008–
2009 financial crisis, Nofsinger and Varma (2014) concluded that CSR activities may be
viewed as an insurance policy paying off when the economy faces a severe crisis of
confidence and trust. Hence, the heterogeneity among the findings of empirical research
may also be influenced by the overall market stability during the time interval in which
the observations were made.
Finally, the measurement scheme used to quantify an investment’s level of social
responsibility, may also significantly impact the results of empirical research. Table 12
lists some of the empirical research studied in the literature review and the respective
indicators which have been used to distinguish between socially responsible and socially
irresponsible investments. Additionally, the table exhibits the providers from which the
research has drawn the respective data. Although a majority of the studies have used ESG
ratings as a responsibility indicator, the ESG data has been retrieved from different
providers. Since, there are significant variations in the characteristics of different ESG
rating concepts (Halbritter & Dorfleitner, 2015), not only the choice of the indicator but
also of the data providers may significantly impact the results obtained in a study.
Additionally, a substantial amount of empirical research studied in the literature review
has also merely compared different indices or portfolios labeled as sustainable or
responsible with comparable conventional indices or portfolios.

Table 12: Sustainability Indicators and Providers used by Empirical Literature (own illustration)
Study Indicator Provider
Brammer, Brooks & Pavelin (2006) EIRIS Rating Ethical Investment Research Service
Byun (2018) ESG Rating Korea Corporate Governance Service
Czerwińska & Kaźmierkiewicz (2015) ESG Rating GES International
Dunn, Fitzgibbons, & Pomorski (2018) ESG Rating MSCI ESG Database
Halbritter & Dorfleitner (2015) ESG Rating ASSET4, Bloomberg and KLD
Hong & Kacperczyk (2009) SIC & NAICS Compustat
Lins, Servaes & Tamayo (2017) ESG Rating MSCI ESG Database
Rodriguez-Fernandez (2016) combination GRI index, DJSI, Global Compact Network

Beyond all previous factors, Revelli and Viviani (2015) have established that there
are clear distinctions in the results between studies that examine existing socially
responsible portfolios or funds and research which create synthetic portfolios of stocks in
the field of socially responsible investing. According to their findings, academics
studying existing portfolios or funds have determined a clear, negative relationship
between social responsibility and performance (ibid.). On the contrary, those studies
which have created their own socially responsible portfolios by selecting stock according

40
 The Relevance of Sustainability for Investors

to some social criteria, have determined a significantly positive correlation between social
responsibility and performance and therefore deem responsible investments as a social
source of value (ibid.). Consequently, Revelli and Viviani (2015), have raised the
question whether this is simply because academics use more efficient strategies than those
used by socially responsible fund managers, or whether researchers actually purposely
chose best-performing stocks to emphasize and promote a ‘green effect’. This scrutiny is
certainly of great importance, since it may explain some of the discrepancies among
literature, but also because it challenges the reliability and comparability of academic
research in general.

4.1.2 Inconsistencies Among the Results of the Statistical Analysis

As among the findings of the literature review, there are also some evident
inconsistencies among the results obtained through the statistical analysis. The correlation
coefficients which have been computed for both the relationship between ESG and
volatility and the relationship between ESG and performance, vary considerably between
the different regional categories. Since all of the values used for the analysis refer to the
same investment horizons and have additionally been drawn from one and the same data
provider, the reasons causing the inconsistencies among the results are slightly different
from the ones previously discussed.
The most prominent cause for the differences among the computed correlation
coefficients are obviously the different investment universes (Developed, Emerging,
Swiss, Indian) as already discussed in the foregoing section. According to Cormier and
Magnan (2007), different geographic areas provide different sets of institutional contexts,
which may influence the relationship between social responsibility and financial
performance. Their cross-border study, comparing the Canadian, French and German
markets, has shown that the interaction between environmental reporting and firm stock
market value is subject to the reporting context faced by firms (ibid.). Whilst additional
environmental reporting has been found to potentially enhance a firm's stock market value
in Germany, it has also been found to have an entirely neutral effect on French and
Canadian firms. Thus, Cormier and Magnan’s (2007) conclusions indicate that national
institutional contexts may considerably impact the relation between non-financial
performance indicators and stock market value. Although the world appears to be moving
towards harmonization of international disclosure standards such as the Global Reporting

41
 The Relevance of Sustainability for Investors

Initiative (GRI) or the Integrated Reporting (IR) Framework, the interpretation among
different institutional contexts may not necessarily harmonize as well.
What is particularly noteworthy among the results of the statistical analysis is that
the correlation coefficients between ESG and volatility are slightly lower among the
Emerging and Indian category than the Developed and Swiss category. Ortas et al. (2012)
argued that the existence of some factors present in emerging markets may be the reason
why investments in emerging markets vary from others. Among other factors, Ortas et al.
(2012) proposed that the governments of emerging markets play a pivotal role in
influencing companies' governance structures, due to high levels of government
intervention in local capital markets and powerful state guidance and ownership in large
companies. According to Ortas et al. (2012), these governmental influences have serious
ramifications on company governance including weak board and directors independence,
limited or no audit committees, and insufficient financial disclosures. Such impairments
of corporate governance may lead to serious difficulties or even manipulations in risk
management, resulting in inherently higher volatility rates among company stock (ibid.).
Thus, a possible reason why the correlation between ESG and volatility seems to be lower
in emerging markets may be due to an inherently lower quality of corporate governance
and consequently higher volatility. This argument is only accentuated by the findings of
Dunn et al. (2018) showing that among the three ESG criteria it is specifically the social
and the governance criteria which are strongest correlated to risk.
Finally, the variations among the findings of the statistical analysis may also simply
be a result of non-ESG factors. The challenge of isolating the exclusive impact of social
responsibility characteristics on performance has been proven problematic in many
empirical studies (Galema et al. 2008). If socially responsible companies are for instance
smaller than the conventional companies in a sample, differences in performance could
wrongfully be attributed to social responsibility characteristics when actually they may
be due to size (Revelli & Viviani, 2015). This same problem has been detected among
the results of the statistical analysis of this thesis. Upon closer investigation of the outliers
and clusters, it has become clear that non-ESG factors have strongly influenced the
relationship between both ESG and volatility as well as ESG and performance.
Specifically, among the Swiss category, a non-ESG factor has been found to have
considerably distorted the correlations between both ESG and performance and ESG and
return. The analysis of the two clusters within the Swiss category has revealed that the
capitalization size of the stocks in which the funds are invested largely affected these

42
 The Relevance of Sustainability for Investors

relationships. Upon excluding funds invested in small- and mid-capitalizations, the

previously high correlation coefficients have considerably dropped from -0.718 to -0.331
between ESG and volatility and from -0.585 to -0.232 between ESG and performance.
Thus, the strongest inconsistency among the findings of the statistical analysis, namely
the extraordinarily high correlation coefficients among the Swiss category, have been
found to be a result of non-ESG factors.

4.2 Discussion of Key Findings

The succeeding sections comparatively discuss this thesis’ main results. In the first
section, the results obtained from the literature review are compared to those obtained
from the statistical analysis, in order to establish the overarching trend among the results.
On the grounds of these findings, the thesis’ hypotheses are then accepted in the
subsequent section.

4.2.1 Comparison of Primary and Secondary Research

The results generated by the statistical analysis show clear parallels to the findings
compiled by the literature review. To begin with, the literature review has shown that
there is a largely homogenous recognition among researchers that socially responsible
investments are generally less volatile than conventional investments. This trend has
been confirmed by the statistical analysis exhibiting a weak but clearly negative and
statistically significant overall correlation between ESG and volatility.
Similarly, the heterogeneity amongst the findings concerning the relationship
between social responsibility and return observed in the literature review is reflected by
the clearly weaker and statistically insignificant overall correlation between ESG and
return generated by the statistical analysis. Additionally, the heterogeneity amongst
literature is also in line with the large variety of correlation strengths observed among the
different regional categories in the statistical analysis. Ranging from extremely weak
negative correlations in the developed category (Rho= -0.004), over a comparably
stronger correlation in the Swiss category (Rho= -0.585) to even a slightly positive
correlation in the Indian category (Rho= 0.175), the inconsistency amongst the regional
categories clearly align with the inconsistencies among literature.
Specifically, the correlation coefficients computed among the Developed category
undoubtedly confirm the findings compiled by the literature review. Since the Developed

43
 The Relevance of Sustainability for Investors

category may be considered the most representative, due to its vast sample size and
transnational nature, it stands to reason that specifically this dataset truthfully reflects the
findings from the literature review. In fact, it indicates that large, cross-border samples,
as is the case in both the literature review and the Developed category, provide evidence
for a negative relationship between social responsibility and volatility, but cannot identify
a unanimous correlation between social responsibility and return. In other words, large,
cross border samples have been found to show that socially responsible investments are
generally less volatile than conventional investments but do necessarily produce better or
worse returns than their conventional counterparts.

4.2.2 Acceptance of the Hypotheses

With regard to the previous section, this thesis’ results have verified both of the two
hypotheses posed at the beginning of the paper. The combined findings of both the
literature review and the statistical analysis indicate that whilst a clearly negative
correlation exists between an investment’s social responsibility and volatility, no clear
correlation can be determined between an investment’s social responsibility and return.
Consequently, both hypotheses as reiterated below can be accepted on the grounds of this
thesis’ findings.

Hypothesis 1: A negative relationship can be established between an

investment’s degree of social responsibility and its volatility
Hypothesis 2: No clear relationship can be established between an investment’s
degree of social responsibility and its rate of return

4.3 Theoretical Rationale of the Results

The following section aims to provide an explanation of this thesis’ results in light
of the theories and models introduced in the Theoretical Framework. It is separated into
two individual parts. Whereas the first one aims to rationalize the negative correlation
that has been established between social responsibility and volatility, the second one aims
to explain why no significant relationship has been determined between social
responsibility and performance.

44
 The Relevance of Sustainability for Investors

4.3.1 Explaining the Correlation between Social Responsibility and Volatility

Both the theory of reputational capital by Fombrun et al. (2000) and the theory of
moral capital by Godfrey et al. (2009) provide complex theoretical explanations to why
the results of this thesis show that socially responsible investments are less volatile than
conventional investments. Despite slightly different approaches, both theories suggest the
same ultimate reason why socially responsible companies are less volatile than others.
According to the theory of reputational capital (Fombrun et al., 2000), CSR
reduces risk by building a safety net against losses, helping companies to buffer
themselves against the downside risk of reputation. As previously already described, this
safety net is formed through ‘reputational capital’ built by strengthening the bonds
between the company and its stakeholders. Thus, it may be argued that the reason why
investments into socially responsible companies are less volatile than others, may be that
these companies have built more favorable relationships with their stakeholders,
protecting them from unexpected reputational- and resulting financial losses.
Similarly, the theory of moral capital (Godfrey et al., 2009) argues that CSR may
create an ‘insurance-like’ protection, ensuring stakeholder wealth in the face of negative
events. In other words, the theory argues that if a company gets involved in behavior
which adversely affects or offenses its stakeholders, moral capital mitigates negative
stakeholder assessments and related punishments or sanctions. Just as in the case of
reputation capital, Godfrey et al. (2009) argued that moral capital is largely built on
relationship-based intangible assets such as the affective commitment of employees or
the trust of suppliers and partners. Thus, his theory further supports the idea that
investments into socially responsible companies are less volatile because the company’s
favorable stakeholder relationships protect them from unexpected financial losses.

4.3.2 Explaining the Independence of Social Responsibility and Performance

In order to rationalize why this thesis’ findings, suggest that there is no clear
correlation between an investment’s social responsibility and its performance, the
Efficient Market Hypothesis discussed in the Theoretical Framework must be analyzed
very critically. According to Fama’s (1970) semi-strong-form of the Efficient Market
Hypothesis, stock prices should reflect all publicly-available information. This should
include both financial and non-financial information such as ESG-related evidence.

45
 The Relevance of Sustainability for Investors

Under the circumstances of nearly perfect information symmetry, meaning that all
stakeholders are aware of all relevant information, non-financial information such as
ESG-related evidence should be fully reflected in the company’s stock performance.
Naturally, positive ESG-related information such as reduced carbon emissions should
thus enhance stock performance, whereas negative ESG-related information such as
reports on poor working conditions, should accordingly harm stock performance.
However, under the circumstances of information asymmetries, for instance, due to
time lags between the occurrence of events and their disclosure (Rehman et al. 2016), not
all information may be valued and incorporated into the market price of an asset
appropriately. Rehman et al. (2016, p. 442) even claim that “if the financial value of ESG
factors is not compounded into the share price in a timely manner, this delay can create
mispricing problems”. Consequently, socially irresponsible companies may achieve to
uphold excessive share prices in the medium or long run until the government, financial
markets or consumers penalize them adequately.
Since the degree of information symmetry is rather arbitrary among different
investments, with some companies openly disclosing all non-financial information and
others purposely attempting to hide them, it stands to reason that no clear correlation can
be determined between an investment’s social responsibility and its performance.

4.4 The Results from an Investor’s Perspective

With socially responsible investments becoming ever more prevalent in the

financial market, the results of this thesis provide investors with valuable insights into
their most fundamental concerns; risk and return. From an investor’s perspective, the
results of this thesis show that socially responsibility can be an opportunity to reduce risk
as well as a to possibility accommodate ethics alongside performance.

4.4.1 An Opportunity to Reduce Risk

According to the Modern Portfolio Theory introduced in the Theoretical

Framework, rational investors strive to minimize risk at any given level of return by
eliminating unsystematic risk through diversification. In reality, however, most investors
have been found to be biased to choose domestic stock and hold portfolios that include
fewer stocks than is optimal by traditional theories (Jakobsson & Lundberg, 2018). This
implies that unsystematic risk most probably prevails in the portfolios of many investors.

46
 The Relevance of Sustainability for Investors

Since the results of this thesis demonstrate that socially responsible investments are
less volatile than their conventional counterparts, the prevailing unsystematic risk among
most private investments may thus be reduced through adding social screens to their
investment choices. Therefore, sustainability-related information may provide investors
with more than just a mean of accommodating their ethical values in their investment
choices, but rather also inform them about the riskiness of their securities. Investors
interested in tilting toward safer investments may hence even consider socially
responsible investing, for the sole reason of reducing investment risk.
It must, however, be mentioned that socially responsible investing is by no means
a solution that automatically leads to full diversification. If investors, for instance, own
too many domestic stocks, whether socially responsible or not, the level of diversification
may be too low to achieve a significant risk reduction (Jakobsson & Lundberg, 2018).

4.4.2 A Possibility to Accommodate Ethics Alongside Performance

Similarly, the recognition that the returns of socially responsible investments are
not significantly different from those of more conventional investments, implies that
investors with a global perspective can accommodate their ethical values without
scarifying portfolio performance. This is consistent with Revelli and Viviani’s (2015, p.
158) statement that “the consideration of corporate social responsibility in stock market
portfolios is neither a weakness nor a strength compared with conventional investments”.
However, that does not necessarily mean that socially responsible investments are
always equally profitable as their conventional counterparts. In fact, the performance of
socially responsible investments is subject to various other influencing factors. Luther et
al. (1997) for instance argued that fund managers’ skills of diversifying portfolios,
choosing assets, defining strategy and minimizing the active management costs are the
key determinants of the financial performance of socially responsible investments. Thus,
the recognition that an investment’s social responsibility and its performance are not
clearly correlated, does not give any insight about the actual performance of a socially
responsible investment. In fact, it merely suggests that investors may integrate social
considerations into their investment choices without necessarily compromising the
financial outcome of the investment (Cortez et al., 2009).

47
 The Relevance of Sustainability for Investors

5 Conclusion
This final chapter starts off with a summary of the thesis’ main conclusions in light
of the research question set forth at the beginning of this paper. Thereafter the thesis’
broader relevance and underlying limitations are examined. Finally, the thesis closes with
an outlook of possible future developments in the field of sustainable investing.

5.1 Main Conclusions

The increasing global awareness and acceptance of socially responsible investment

practices raise the question of whether adding social screens to investment decisions
compromises the financial outcomes of investments. Although the relationship between
an investment’s social responsibility and its financial outcomes has been widely discussed
and among literature, there is yet no general consensus on the topic. Hence, this thesis
has investigated the research questions of whether socially responsible investments can
offer investors a financial advantage by exploring the two sub-questions of whether
socially responsible investments exhibit lower volatility or higher returns than more
conventional investments. In light of this question the following two hypotheses have
been formulated:

Hypothesis 1: A negative relationship can be established between an

investment’s degree of social responsibility and its volatility
Hypothesis 2: No clear relationship can be established between an investment’s
degree of social responsibility and its rate of return

The combined findings of secondary and primary data have shown that socially
responsible investments generally do in fact exhibit lower volatility rates than
conventional investments. A vast majority of recent empirical research has been found to
suggest that social responsibility can strongly reduce investment risk. Likewise, the
statistical analysis of primary data has provided evidence that funds with higher ESG
scores exhibit slightly but statistically significantly lower volatility rates than their lower
ESG counterparts.
On the contrary, the thesis’ results have however shown that no clear relationship
can be established between an investment’s degree of social responsibility and its rate of
return. Whereas the literature review has primarily indicated that there are major

48
 The Relevance of Sustainability for Investors

contradictions between the results of various empirical research concerning this debate,
the statistical analysis has clearly shown that there is no significant correlation between a
fund’s ESG score and financial performance. This means that the returns of socially
responsible investments have neither been found to be worse nor superior to those of more
conventional investments.
The results hence show that socially responsible investments can generally offer
investors the financial advantage of reduced volatility and thus lower risk but not
necessarily of superior returns. Consequently, both of the two hypotheses proposed in the
introduction of this thesis have been verified and accepted.

5.2 Relevance of the Findings

By demonstrating that sustainable investments may allow investors to reduce risk,

whilst possibly still achieving their desired performance, the findings of this thesis are
not only relevant on the investor- but also on the government- and firm-level. In addition
to incentivizing new investments into sustainable assets, the findings of this thesis also
strengthen the notion that the flows of funds that are already in the system seem to be
going the right way.
First and foremost, the results provide an incentive for private investors to consider
socially responsible investments in their future investment decisions. Additionally, the
results may even encourage institutional investors, asset management companies, banks
or other financial entities to create more sustainably managed funds. Specifically, pension
funds may seriously contemplate sustainable investment strategies, to honor their
fiduciary risk management duties, as a result of the evidence provided in this thesis and
other empirical research. Finally, the findings also provide reassurance to investors who
are already dedicated to sustainability.
Moreover, the findings of this thesis are also highly relevant to companies on the
corporate level. Empirical evidence of the financial benefits of sustainable investments,
such as the ones provided by this thesis, should encourage firms to commit to socially
responsible practices, in order to benefit from enhanced availability of funds and a more
stable share price. As in the case of investors, the findings of course also provide
reassurance to companies that are already dedicated to sustainability.
Additionally, the results provide solid arguments for entities with a supporting role
in the economy, such as governments, to further support sustainable companies.

49
 The Relevance of Sustainability for Investors

According to the European Commission (2019), responsible business practices are of

utmost importance since they build a more cohesive society onto which the transition to
a more sustainable economic system can be based. This indicates that governmental
institutions should be strongly interested in socially responsible investments as a mean to
stimulate the development of a more sustainable economic future. The results generated
in this thesis may thus incentivize policymakers to strengthen their support for social
responsibility screenings such as ESG screenings in financial markets, in order to foster
sustainable economic development. As an example, policymakers may decide to require
governmental pension funds to integrate ESG criteria or even introduce mandatory
regulations on the disclosure of ESG related issues.

5.3 Limitations

Upon a critical evaluation of the methods and data chosen for this thesis, it becomes
apparent that the thesis has been subject to both generic and specific limitations. Whereas
these have constrained the findings of this thesis, they may, however, provide an
opportunity for future research to learn from and develop in their own research.
Although the secondary data of this thesis has been obtained through a systematic
literature review, the selection and interpretation of relevant literature may have been
subject to bias. The literature selection was certainly affected by the ‘dissemination bias’
(Song et al., 2010), referring to whether research is accessible to the reviewer and whether
its results are clearly identifiable. On the other hand, the interpretation of the selected
literature must have been affected by the ‘interpretation bias’ (MacCoun, 1998), which
refers to the reviewer’s ability to synthesize, judge and weigh the results found in
research. According to this bias, personal backgrounds may lead to significant deviations
among conclusions that different reviewers may draw from the same piece of literature.
The primary research of this thesis, on the other hand, was limited to the dataset
provided by CSSP AG. Although the data is very extensive and is at large covered by
global funds, the sample does not represent the market entirely. This is an important
limitation since different geographical areas have been found to provide different sets of
institutional contexts influencing the relationship between social responsibility and
financial performance (Cormier & Magnan, 2007). Furthermore, the values in the dataset
were limited to a 3-year investment horizon, which is a comparatively short timespan for
significant assertions. This is especially critical because a long-term investment horizon

50
 The Relevance of Sustainability for Investors

has been found to be fundamental to the financial success of socially responsible

investments (Revelli & Viviani, 2015). Finally, the statistical analysis was also subject to
the so-called ‘p-Value Problem in Large Samples’ arguing that p-Values quickly
approach zero as sample sizes increases. (Lin et al., 2013). For large samples, such as the
ones examined in this thesis, it is thus very easy to achieve statistical significance despite
potentially lacking practical relevance. According to Lin et al. (2013), relying solely on
p-Values and regression coefficients can lead researchers to claim support for results of
no practical significance.
This thesis might thus serve as a good foundation for further research. Future
studies may want to build upon this thesis’ findings by conducting a similar statistical
analysis however encompassing data covering a longer time frame and a wider
geographical reach. This might provide interesting insights into the effects of investment
horizons and universes on sustainable investments. Additionally, future research should
consider applying the methods proposed by Lin et al. (2013), to mitigate the p-Value
problem in large samples, and thereby enhance the credibility of findings.

5.4 Outlook

"We’re in the middle of a $30 trillion intergenerational wealth transfer from baby
boomers to their children. And those kids … simply think about their investment decisions
differently” (Nadig, 2017, para. 2)

Coming back to the quote already presented at the very beginning of this thesis, it
is safe to say that a change is already well underway. The ongoing intergenerational
wealth transfer undeniably has its effects on the sustainable investment market,
considering that US-domiciled assets under management using socially responsible
strategies have increased from $8.7 trillion to over $11 trillion between 2016 and 2018
(US SIF, 2018).
As the market continues to shift, the consideration of social screens in investment
decisions may soon become the norm in the world of tomorrow. As proposed by Revelli
and Viviani (2015), this may initiate a self-reinforcing cycle that could empower the
financial industry to become the main driver of global sustainable development.
As investors will increasingly transfer their savings into socially responsible
investments, sustainable companies will be granted progressively better access to
financial resources and as a result, will benefit from lower costs of equity. Additionally,

51
 The Relevance of Sustainability for Investors

this increase in the demand for socially responsible investments should raise the prices of
socially responsible stock. The higher stock prices, in turn, provide an incentive to
companies to invest in socially responsible compliance programs or pursue sustainable
business practices. Ultimately, the cycle would inevitably result in both investors and
companies adopting more socially responsible behaviors.
The increasing evidence of the financial advantages of socially responsible
investments, such as the findings put forth by this thesis, only spur this self-reinforcing
cycle. In conclusion, a financial world where priorities of financial return stand alongside
priorities of social and environmental sustainability might presumably evolve faster than
many may anticipate.

52
 The Relevance of Sustainability for Investors

6 List of References

Bank of America Corporation. (2014). 2014 U.S. Trust Insights on Wealth and Worth.
Retrieved May 13, 2019 from http://legacytracker.com/wp-
content/uploads/2014/08/US-Trust-2014-survey-on-High-Net-worth-
individuals.pdf
Bauer, R., Koedijk, K., & Otten, R. (2005). International evidence on ethical mutual
fund performance and investment style. Journal of Banking & Finance, 29:7,
1751-1767.
Bian, S., Fan, J., & Wong, V. (2016). Volatility of Socially Responsible Investments in
Australia. Global Review of Accounting and Finance, 7:1, 129-143.
Bodie, Z., Kane, A., & Marcus, A. (2013). Essentials of Investments. Boston, USA:
McGraw-Hill Irwin.
Brammer, S., Brooks, C., & Pavelin, S. (2006). Corporate Social Performance and
Stock Returns: UK Evidence from Disaggregate Measures. Financial
Management, 35:3, 97-116.
Byun, H. (2018). Impact of ESG Factors on Firm Value in Korea. Journal of
International Trade & Commerce, 14:5, 135-160.
Cormier, D., & Magnan, M. (2007). The revisited contribution of environmental
reporting to investors' valuation of a firm's earnings: An international
perspective. Ecological Economics, 62:3, 613-626.
Cortez, M., Silva, F., & Areal, N. (2009). The Performance of European Socially
Responsible Funds. Journal of Business Ethics, 87:4, 573-588.
Center for Social and Sustainable Products [CSSP] AG. (2019). The world of ESG.
Retrieved May 13, 2019 from https://yoursri.com/esg-and-
carbon/introduction/esg
Czerwińska, T., & Kaźmierkiewicz, P. (2015). ESG Rating in Investment Risk Analysis
of Companies Listed on the Public Market in Poland. Economic Notes, 44:2,
211-247.
Dimock, M. (2019, January 17). Defining generations: Where Millennials end and
Generation Z begins. Retrieved May 13, 2019 from
https://www.pewresearch.org/fact-tank/2019/01/17/where-millennials-end-and-
generation-z-begins/
Dunn, J., Fitzgibbons, S., & Pomorski, L. (2018). Assessing Risk Through
Environmental, Social and Governance Exposures. Journal of Investment
Management, 16:1, 4-17.
European Commission. (2018, March 8). Action Plan: Financing Sustainable Growth.
Retrieved May 13, 2019 from https://eur-lex.europa.eu/legal-
content/EN/TXT/?uri=CELEX:52018DC0097
European Commission. (2019). Corporate Social Responsibility & Responsible
Business Conduct . Retrieved May 13, 2019 from
http://ec.europa.eu/growth/industry/corporate-social-responsibility_sv
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical
Work. The Journal of Finance, 25:2, 383-417.
Fombrun, C. J. (1996). Reputation. Boston, USA: Harvard Business School Press.
Fombrun, C. J., Gardberg, N. A., & Barnett, M. L. (2000). Opportunity platforms and
safety nets: Corporate citizenship and reputational risk. Business and Society
Review, 105:1, 85-106.

53
 The Relevance of Sustainability for Investors

Friedman, M. (1970, September 13). The social responsibility of business is to increase

its profits. New York Times, pp. 122-124.
Galema, R., Auke, P., & Scholtens, B. (2008). The stocks at stake: Return and risk in
socially responsible investment. Journal of Banking & Finance, 32:12, 2646-
2654.
Global Impact Investing Network. (2018). Annual Impact Investor Survey 2018. Global
Impact Investing Network. Retrieved May 13, 2019 from
https://thegiin.org/assets/2018_GIIN_Annual_Impact_Investor_Survey_webfile.
pdf
Godfrey, P. (2005). The Relationship between Corporate Philanthropy and Shareholder
Wealth: A Risk Management Perspective. The Academy of Management Review,
30:4, 777-798.
Godfrey, P., Merrill, C., & Hansen, J. M. (2009). The Relationship between Corporate
Social Responsibility and Shareholder Value: an Empirical Test of the Risk
Management Hypothesis. Strategic Management Journal, 30:4, 425-445.
Halbritter , G., & Dorfleitner, G. (2015). The wages of social responsibility – where are
they? A critical review of ESG investing. Review of Financial Economics, 26:C,
25-35.
Hargrave, M. (2019, April 12). Standard Deviation Definition. Retrieved May 13, 2019
from https://www.investopedia.com/terms/s/standarddeviation.asp
Harjoto, M., Jo, H., & Kim, Y. (2017). Is Institutional Ownership Related to Corporate
Social Responsibility? The Nonlinear Relation and Its Implication for Stock
Return Volatility. Journal of Business Ethics, 146:1, 77-109.
Hoepner, A. G. F. (2010, March). Portfolio diversification and environmental, social or
governance criteria: Must responsible investments really be poorly diversified?
Retrieved May 13, 2019 from http://www.tias.edu/docs/default-
source/documentlibrary_fsinsight/paper-portfolio-diversification-and-esg-
criteria.pdf
Hong, H., & Kacperczyk, M. (2009). The price of sin: The effects of social norms on
markets. Journal of Financial Economics, 93:1, 15-36.
Jakobsson, R., & Lundberg, L. (2018). The Effect of ESG Performance on Share Price
Volatility (Master's thesis). Umeå: Umeå School of Business, Economics and
Statistics.
Jo, H., & Na, H. (2012). Does CSR Reduce Firm Risk? Evidence from Controversial
Industry Sectors. Journal of Business Ethics, 110:4, 441-456.
Kenton, W. (2019, April 19.). Statistical Significance. Retrieved May 13, 2019 from
https://www.investopedia.com/terms/s/statistically_significant.asp
Lee, D. D., & Faff , R. W. (2009). Corporate Sustainability Performance and
Idiosyncratic Risk: A Global Perspective. Financial Review, 44:2, 213-237.
Lin, M., Lucas, H. C., & Shmueli, G. (2013). Too Big to Fail: Large Samples and the p-
Value Problem. Information Systems Research, 24:4, 906-917.
Lins, K., Servaes, H., & Tamayo, A. (2017). Social Capital, Trust, and Firm
Performance: The Value of Corporate Social Responsibility during the Financial
Crisis. Journal of Finance, 72:4, 1785-1823.
Luederitz, C., Meyer, M., Abson, D. J., Gralla, F., Lang D. J., Rau, A., Wehrden, H.
(2016). Systematic student-driven literature reviews in sustainability science -
an effective way to merge research and teaching. Journal of Cleaner Production,
119:1, 229-235.

54
 The Relevance of Sustainability for Investors

Lund Research Ltd. (2018). Spearman's Rank-Order Correlation. Retrieved May 13,
2019 from https://statistics.laerd.com/statistical-guides/spearmans-rank-order-
correlation-statistical-guide.php
Luo, X., & Bhattacharya, C. B. (2009). The Debate over Doing Good: Corporate Social
Performance, Strategic Marketing Levers, and Firm-Idiosyncratic Risk. Journal
of Marketing, 73:6, 198-213.
Luther, R., Matatko, J., & Gregory, A. (1997). Ethical Unit Trust Financial
Performance: Small Company Effects and Fund Size Effects. Journal of
Business Finance & Accounting, 24:5, 705-725.
MacCoun, R. (1998). Biases in the interpretation and use of research results. Annual
Review of Psychology, 49:1, 259-287.
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7:1, 77-91.
Moskowitz, M. (1972). Choosing Socially Responsible Stocks. Business & Society
Review, 1:1, 71-75.
Morgan Stanley Capital International [MSCI] Inc. (2018). MSCI ESG Ratings
Methodology. Retrieved May 13, 2019 from
https://www.msci.com/documents/10199/123a2b2b-1395-4aa2-a121-
ea14de6d708a
Morgan Stanley Capital International [MSCI] Inc. (2019). What is ESG Investing?
Retrieved May 13, 2019 from https://www.msci.com/esg-investing
Nadig, D. (2017, June 12). Sustainability ETFs With MSCI. Retrieved May 13, 2019
from https://www.etf.com/sections/blog/evaluating-sustainability-etfs-
msci?nopaging=1
Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises.
Journal of Banking & Finance, 48:1, 180-193.
Ortas, E., Moneva, J. M., & Salvador, M. (2012). Does socially responsible investment
equity indexes in emerging markets pay off? Evidence from Brazil. Emerging
Markets Review, 13:4, 581-597.
Palmer, B. (2019, February 25). A Beginner's Guide to Precious Metals. Retrieved May
13, 2019 from https://www.investopedia.com/articles/basics/09/precious-metals-
gold-silver-platinum.asp
Porter, M. E., & Kramer, M. R. (2011). Creating Shared Value. Harvard Business
Review, 89:1, 62-77.
Rehman, R. U., Zhang, J., Uppal, J., Cullinan, C., & Naseem, M. A. (2016). Are
environmental social governance equity indices a better choice for investors? An
Asian perspective. Business Ethics: A European Review, 25:4, 440-459.
Renneboog, L., Horst, J., & Zhang, C. (2008). Socially responsible investments:
Institutional aspects, performance, and investor behavior. Journal of Banking &
Finance, 32:9, 1723-1742.
Revelli, C., & Viviani, J. (2015). Financial performance of socially responsible
investing (SRI): what have we learned? A meta-analysis. Business Ethics: A
European Review, 24:2, 158-185.
Rodriguez-Fernandez, M. (2016). Social responsibility and financial performance: The
role of good corporate governance. BRQ Business Research Quarterly, 19:2,
137-151.
Segal, T. (2018, June 7). Are small cap companies more risky investments than large
cap companies? Retrieved May 13, 2019 from
https://www.investopedia.com/ask/answers/022715/are-small-cap-companies-
more-risky-investments-large-cap-companies.asp

55
 The Relevance of Sustainability for Investors

Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under

Conditions of Risk. The Journal of Finance, 19:3, 425-442.
Song, F., Parekh, S., Hooper, L., Loke, Y. K., Ryder, J. J., Sutton, A. J., Hing, C.,
Kwok, C. S., Pang, C., Harvey, I. (2010). Dissemination and publication of
research findings: an updated review of related biases. Health Technology
Assessment, 14:8, 1-193.
Tripathi, V., & Bhandari, V. (2016). Performance of Socially Responsible Stocks
Portfolios - The Impact of Global Financial Crisis. Journal of Economics and
Business Research, 22:1, 42-68.
United Nations. (2019). Integrate the Principles for Responsible Investment. Retrieved
May 13, 2019 from https://www.unglobalcompact.org/take-
action/action/responsible-investment
US Social Investment Forum [SIF] Foundation. (2018). Report on US Sustainable,
Responsible and Impact Investing Trends 2018. Retrieved May 13, 2019 from
https://www.ussif.org/files/Trends/Trends%202018%20executive%20summary
%20FINAL.pdf

56
 The Relevance of Sustainability for Investors

7 Appendix

Appendix 1: Full Dataset Provided by CSSP AG

Lipper Global Classification ESG Score Performance Standard Deviation

(as of December (Annualized 3-year in (Annualized 3-year in
2018) EUR % as at 31.12.18) EUR % as at 31.12.18)

Regional Focus: Global

Lipper Global Equity Global 6.96 1.08 11.34
Lipper Global Equity Global 6.64 1.59 10.26
Lipper Global Equity Global 5.75 2.78 11.29
Lipper Global Equity Global 5.69 2.16 12.52
Lipper Global Equity Global 6.37 2.49 10.31
Lipper Global Equity Sector Real Est Global 4.96 0.41 9.91
Lipper Global Equity Global 5.10 4.95 15.96
Lipper Global Equity Global 5.61 -3.3 9.61
Lipper Global Equity Global 5.65 2.59 10.34
Lipper Global Equity Global Income 6.89 -0.35 5.97
Lipper Global Equity Global 6.03 1.61 13.89
Lipper Global Equity Global 5.12 0.85 11.01
Lipper Global Equity Global 6.58 -4.87 19.42
Lipper Global Equity Global 6.62 1.28 10.83
Lipper Global Equity Global 5.52 2.65 10.11
Lipper Global Equity Global 5.93 4.8 10.04
Lipper Global Equity Global 5.79 2.57 12.19
Lipper Global Equity Global 6.26 -0.6 3.37
Lipper Global Equity Global 5.50 0.01 11.97
Lipper Global Equity Sector Financials 5.83 1.29 13.01
Lipper Global Equity Global 5.26 13.38 19.13
Lipper Global Equity Global 5.92 2.14 9.96
Lipper Global Equity Global Income 5.96 3.97 9.25
Lipper Global Equity Sector Information Tech 5.21 9.05 16.3
Lipper Global Equity Global ex UK 4.70 5.83 14.08
Lipper Global Equity Global 5.85 3.09 11.61
Lipper Global Equity Global 5.83 -0.17 11.14
Lipper Global Equity Sector Industrials 5.63 5.21 12.74
Lipper Global Equity Global 5.64 3.07 8.88
Lipper Global Equity Global 5.80 2.41 10.21
Lipper Global Equity Global 5.99 2.11 10.59
Lipper Global Equity Global 6.38 3.83 10.9
Lipper Global Equity Global 5.92 2.27 9.71
Lipper Global Equity Global 4.98 3.05 12.29
Lipper Global Equity Global Income 6.86 2.34 7.5
Lipper Global Equity Sector Healthcare 4.85 -0.35 15.53
Lipper Global Equity Global 6.31 0.33 9.8
Lipper Global Equity Sector Real Est Global 4.97 -1.68 10.82
Lipper Global Equity Global 6.42 3.59 9.43
Lipper Global Equity Global 5.63 -3.33 11.54
Lipper Global Equity Global 5.93 4.34 10.57
Lipper Global Equity Sector Real Est Global 5.20 0.22 11.75
Lipper Global Equity Global 5.30 3.63 11.92
Lipper Global Equity Global 6.21 2.29 9.02
Lipper Global Equity Global 5.83 4.17 10.29
Lipper Global Equity Sector Healthcare 3.77 -7.57 15.12
Lipper Global Equity Global 5.63 1.08 11.44
Lipper Global Equity Global 8.00 2.65 11.83
Lipper Global Equity Sector Utilities 6.38 3.47 9.03
Lipper Global Equity Global 6.32 5.25 9.97
Lipper Global Equity Global 5.24 3.64 12.13
Lipper Global Equity Global 6.27 0.78 11.15
Lipper Global Equity Global 5.46 1.88 10.55
Lipper Global Equity Global 5.65 1.62 13.46
Lipper Global Equity Sector Healthcare 4.92 5.54 12.27
Lipper Global Equity Global 6.28 -1.87 9.83
Lipper Global Equity Global 5.05 0.52 7.99
Lipper Global Equity Global 5.96 -1.33 12.46
Lipper Global Equity Global 6.00 9.03 9.45
Lipper Global Equity Global 4.53 4.63 10.2
Lipper Global Equity Global 5.98 2.45 11.56
Lipper Global Guaranteed 7.32 2.85 4.15
Lipper Global Equity Global 5.32 -0.88 9.14
Lipper Global Equity Global 6.16 -0.07 9.69
Lipper Global Equity Global 6.67 3.96 7.3
Lipper Global Equity Global 4.18 -2.28 12.16
Lipper Global Equity Global 5.92 5.08 15.59
Lipper Global Equity Global 5.45 1.29 16.07

57
 The Relevance of Sustainability for Investors

Lipper Global Equity Sector Consumer Staples 6.52 -1.89 8.4

Lipper Global Equity Global 6.31 5.02 11.12
Lipper Global Equity Global 5.64 2.33 12.62
Lipper Global Equity Global 5.77 -3.28 12.07
Lipper Global Equity Global 5.85 3.86 10.6
Lipper Global Equity Global Sm&Mid Cap 4.66 -1.78 12.55
Lipper Global Absolute Return EUR Medium 5.23 -2.94 2.88
Lipper Global Equity Global 5.76 0.23 12.47
Lipper Global Equity Global ex UK 5.74 4.13 11.23
Lipper Global Equity Global 5.67 0.83 10.21
Lipper Global Equity Sector Gold&Prec Metals 5.31 4.82 34.45
Lipper Global Equity Global 5.87 1.36 8.86
Lipper Global Equity Global 6.42 -5.03 11.07
Lipper Global Equity Global Income 6.12 1.14 9.86
Lipper Global Equity Global 5.93 4.21 11.66
Lipper Global Equity Global 5.95 2.21 9.87
Lipper Global Equity Global 6.44 0.08 10.85
Lipper Global Equity Global 6.04 6.67 8.85
Lipper Global Equity Global 5.62 2.13 11.35
Lipper Global Equity Global 5.97 2.89 11.82
Lipper Global Equity Global 5.81 2.24 12.68
Lipper Global Equity Global 6.38 3.05 12.18
Lipper Global Equity Global Income 6.19 2.34 10.53
Lipper Global Equity Global 6.37 2.02 9.9
Lipper Global Equity Global 5.79 3.35 10.67
Lipper Global Equity Sector Real Est Global 4.75 -0.1 11.49
Lipper Global Equity Sector Real Est Global 6.04 7.01 10.08
Lipper Global Equity Global 5.94 5.06 10.03
Lipper Global Equity Global 6.55 2.29 8.95
Lipper Global Equity Global 6.24 -2.59 6.61
Lipper Global Equity Global 6.89 1.58 9.09
Lipper Global Equity Sector Gold&Prec Metals 4.94 12.55 28.15
Lipper Global Equity Global 5.99 2.36 11.41
Lipper Global Equity Global 7.70 -1.42 11.96
Lipper Global Equity Global 7.15 3.25 9.2
Lipper Global Equity Global Income 6.38 0.48 10.04
Lipper Global Equity Sector Real Est Global 4.84 1.96 10.54
Lipper Global Equity Global 5.72 3.37 10.26
Lipper Global Equity Global 5.66 2.55 11.59
Lipper Global Equity Global 5.75 2.01 9.2
Lipper Global Equity Global 5.16 4.45 11.24
Lipper Global Equity Global 6.26 4.1 10.43
Lipper Global Equity Global 5.98 8.54 9.39
Lipper Global Equity Global 5.63 1.55 11.21
Lipper Global Equity Sector Healthcare 4.93 0.3 13.83
Lipper Global Equity Global 6.97 2.65 12.92
Lipper Global Equity Global 5.35 4.23 10.97
Lipper Global Equity Global 5.83 4.17 9.64
Lipper Global Equity Global 5.81 1.28 10.12
Lipper Global Equity Global 6.02 2.02 8.45
Lipper Global Equity Sector Information Tech 4.98 9.88 15.43
Lipper Global Equity Sector Financials 5.09 1.44 12.59
Lipper Global Equity Global 5.90 2.67 9.97
Lipper Global Equity Global 5.28 0.41 9.64
Lipper Global Equity Global 6.88 6.41 9.03
Lipper Global Equity Global 7.77 3.99 10.38
Lipper Global Equity Global 5.91 6.58 11.11
Lipper Global Equity Global Income 6.42 1.49 7.54
Lipper Global Equity Sector Information Tech 6.66 4.8 12.04
Lipper Global Equity Global Sm&Mid Cap 6.63 -0.28 9.86
Lipper Global Equity Global 5.99 7.24 12.24
Lipper Global Equity Global 6.15 3.04 10.21
Lipper Global Equity Global 5.77 -0.55 9.89
Lipper Global Equity Global 6.00 2.33 13.15
Lipper Global Equity Global 6.48 5.32 8.81
Lipper Global Equity Global 6.05 -0.15 8.16
Lipper Global Equity Sector Energy 5.01 -3.37 29.07
Lipper Global Equity Global 5.89 4.1 10.27
Lipper Global Equity Global 5.86 3.7 11
Lipper Global Equity Global 5.77 5.08 10.01
Lipper Global Equity Global Income 6.40 2.67 9.08
Lipper Global Equity Global 6.06 2.88 7.98
Lipper Global Equity Global 4.88 1.25 11.26
Lipper Global Equity Global 6.53 1.37 9.52
Lipper Global Equity Global 6.64 1.59 11.74
Lipper Global Equity Global 5.81 5.08 9.03
Lipper Global Equity Global 5.86 1.77 8.58
Lipper Global Equity Global 5.99 4.65 7.86
Lipper Global Equity Global 6.85 0.8 10.15
Lipper Global Equity Global Income 5.83 4.3 10.56
Lipper Global Equity Global 6.02 0.34 9.92
Lipper Global Equity Sector Real Est Global 4.59 0.79 10.5
Lipper Global Equity Global 6.52 2.46 10
Lipper Global Equity Global 6.05 -9.43 11.87
Lipper Global Equity Global 6.04 0.48 8.41
Lipper Global Equity Global 5.57 3.85 13.39

58
 The Relevance of Sustainability for Investors

Lipper Global Equity Global 6.09 4.41 9.68

Lipper Global Equity Global 6.01 -4.19 11.27
Lipper Global Equity Global Income 5.14 4.32 11.53
Lipper Global Equity Sector Real Est Global 4.16 0.69 11.35
Lipper Global Equity Global 7.22 7.52 10.83
Lipper Global Equity Global 6.21 1.21 10.53
Lipper Global Equity Global 4.96 3.32 30.13
Lipper Global Equity Global Income 4.58 -1.33 12.77
Lipper Global Equity Global 7.02 -0.74 10.84
Lipper Global Equity Global 6.02 2.35 8.04
Lipper Global Equity Global 6.43 3.58 10.18
Lipper Global Equity Global 5.89 3 10.7
Lipper Global Equity Global 5.93 4.91 10.02
Lipper Global Equity Global 5.32 3.51 11.49
Lipper Global Equity Global 5.64 1.25 11.82
Lipper Global Equity Global 5.82 4.3 9.94
Lipper Global Equity Global 5.61 -6.42 9.05
Lipper Global Equity Global 5.91 -0.81 12.22
Lipper Global Equity Global 5.32 -0.89 11
Lipper Global Equity Global 5.53 2.53 9.14
Lipper Global Equity Sector Information Tech 5.74 14.05 14.38
Lipper Global Equity Global 5.49 2.28 10.26
Lipper Global Equity Global Sm&Mid Cap 5.24 2.23 10.9
Lipper Global Absolute Return EUR High 6.36 1.72 8.75
Lipper Global Equity Global 5.68 4.27 12.72
Lipper Global Equity Global 6.63 3.09 11.06
Lipper Global Equity Global 5.45 3.69 12.23
Lipper Global Equity Global 5.41 3.35 13.52
Lipper Global Equity Global 5.68 1.52 10.16
Lipper Global Equity Global 6.11 1.49 9.28
Lipper Global Equity Global 5.88 -1.14 9.21
Lipper Global Equity Sector Biotechnology 4.58 -9.25 25.5
Lipper Global Equity Global 6.20 3.56 9.07
Lipper Global Equity Global Income 6.45 1.33 9.65
Lipper Global Equity Global 6.45 -0.76 11.2
Lipper Global Equity Global 5.93 1.33 9.71
Lipper Global Equity Global 5.59 2.54 10.29
Lipper Global Equity Global Income 6.64 3.56 8.68
Lipper Global Equity Global Income 6.03 -0.82 8.9
Lipper Global Equity Global Income 6.35 1.03 7.45
Lipper Global Equity Global 5.60 2.89 11.57
Lipper Global Equity Global 5.73 2.99 10.01
Lipper Global Equity Global 5.07 -1.06 11.02
Lipper Global Equity Global 6.28 3.38 11.08
Lipper Global Equity Global 6.16 6.3 10.3
Lipper Global Equity Sector Consumer Staples 6.98 -0.22 7.34
Lipper Global Equity Sector Healthcare 5.40 -0.07 13.3
Lipper Global Equity Global Income 6.07 1.35 11.58
Lipper Global Equity Sector Consumer Discretionary 4.71 7.35 16.23
Lipper Global Equity Global Income 6.55 -0.38 8.18
Lipper Global Equity Global 6.35 3.46 10.72
Lipper Global Equity Global ex Japan 6.19 3.42 9.84
Lipper Global Equity Global 6.66 0.72 9.56
Lipper Global Equity Global 6.17 -0.5 10
Lipper Global Equity Sector Consumer Discretionary 6.49 6.53 11.94
Lipper Global Equity Global 6.57 0.41 12.06
Lipper Global Equity Global 6.15 0.32 10.69
Lipper Global Equity Global 6.27 0.82 11.12
Lipper Global Equity Global 5.79 4.95 10
Lipper Global Equity Global 6.03 5.65 10.71
Lipper Global Equity Global 6.35 -8.96 16.22
Lipper Global Equity Global 6.92 -1.59 10.79
Lipper Global Equity Sector Information Tech 6.75 9.61 14.55
Lipper Global Equity Global 5.82 3.37 10.52
Lipper Global Equity Global 4.17 3.62 11.68
Lipper Global Equity Global Sm&Mid Cap 4.86 0.22 12.27
Lipper Global Equity Global 5.95 1.15 11.6
Lipper Global Equity Global 6.74 2.57 10.97
Lipper Global Equity Global 5.45 1.5 12.41
Lipper Global Equity Global 6.15 3.48 8.12
Lipper Global Equity Global Income 6.49 1.04 8.96
Lipper Global Equity Global 5.80 5.05 10.01
Lipper Global Equity Global 6.06 2.66 13.03
Lipper Global Equity Global 6.38 1.47 9.17
Lipper Global Equity Global 6.96 4.37 12.55
Lipper Global Equity Global 5.41 3.1 11.38
Lipper Global Equity Sector Gold&Prec Metals 3.51 21.41 41.35
Lipper Global Equity Global 5.85 15.47 14.19
Lipper Global Equity Global Income 6.34 2.43 9.53
Lipper Global Equity Sector Real Est Global 6.82 -2.49 10.16
Lipper Global Equity Sector Information Tech 5.85 14.92 14.07
Lipper Global Equity Global 5.97 0.86 10.44
Lipper Global Equity Global 6.43 3.95 11.07
Lipper Global Equity Global Sm&Mid Cap 4.73 0.57 12.84
Lipper Global Equity Global 5.81 4.6 10.07
Lipper Global Equity Global 5.68 -1.25 12.42

59
 The Relevance of Sustainability for Investors

Lipper Global Equity Global 6.91 0.74 11.39

Lipper Global Equity Global 5.51 6.11 12.84
Lipper Global Equity Global 5.41 0.03 12.63
Lipper Global Equity Sector Healthcare 4.64 3.82 21.06
Lipper Global Equity Global Income 6.75 3.65 7.56
Lipper Global Equity Global 6.15 -0.21 9.83
Lipper Global Equity Global Income 6.62 3.36 8.55
Lipper Global Equity Global 5.80 5.32 11.19
Lipper Global Equity Global 5.69 2.97 11.59
Lipper Global Equity Sector Real Est Global 4.93 -0.78 9.84
Lipper Global Equity Global 5.85 3.47 8.23
Lipper Global Equity Global 7.22 6.25 11.04
Lipper Global Equity Sector Energy 5.41 0.57 16.58
Lipper Global Equity Global Income 6.27 1.92 10.68
Lipper Global Equity Global 5.26 13.42 19.58
Lipper Global Equity Global 6.15 3.43 11.87
Lipper Global Equity Global 6.17 1 9.68
Lipper Global Equity Global 4.78 9.04 15.26
Lipper Global Equity Global 6.41 3.8 12.51
Lipper Global Equity Sector Information Tech 5.57 15.09 16.52
Lipper Global Equity Global 5.78 5.02 10.01
Lipper Global Equity Global 4.50 4.38 11.17
Lipper Global Equity Global 5.84 4.38 11.16
Lipper Global Equity Global 5.67 1.46 11.43
Lipper Global Equity Global 5.79 3.75 10.97
Lipper Global Equity Global 6.04 5.47 11.11
Lipper Global Equity Global Sm&Mid Cap 5.31 0.56 11.31
Lipper Global Equity Global Sm&Mid Cap 4.57 3.41 12.86
Lipper Global Equity Global 6.07 3.01 10.08
Lipper Global Absolute Return EUR High 5.74 -0.9 4.83
Lipper Global Equity Sector Financials 5.80 1.93 16.95
Lipper Global Equity Sector Information Tech 5.84 13.01 14.99
Lipper Global Equity Global 5.71 1.77 10.58
Lipper Global Equity Sector Utilities 6.16 4.38 13.03
Lipper Global Equity Global 6.36 1.56 12.54
Lipper Global Equity Global 5.82 2.31 10.09
Lipper Global Equity Global 5.81 2.66 8.06
Lipper Global Equity Sector Real Est Global 5.40 -1.64 9.92
Lipper Global Equity Sector Healthcare 4.71 4.59 12.06
Lipper Global Equity Global 5.71 3.24 10.04
Lipper Global Equity Global 4.26 5.67 9.31
Lipper Global Equity Global Sm&Mid Cap 5.29 1.27 9.24
Lipper Global Equity Global 5.51 1.62 11.24
Lipper Global Equity Global 5.97 0.02 11.35
Lipper Global Equity Global 6.49 3.97 13.13
Lipper Global Equity Sector Energy 4.53 -1.93 20.48
Lipper Global Equity Global 6.44 1.99 11.43
Lipper Global Equity Global 6.27 3.66 9.69
Lipper Global Equity Global Income 6.94 2.72 7.59
Lipper Global Equity Global 6.00 4.13 11.19
Lipper Global Equity Global Income 5.42 1.81 8.45
Lipper Global Equity Sector Energy 6.03 3.49 13.99
Lipper Global Equity Global 6.31 4.06 9.88
Lipper Global Equity Global 5.54 3.98 10.57
Lipper Global Equity Global Income 6.07 -1.28 10.87
Lipper Global Equity Sector Materials 5.53 0.17 15.14
Lipper Global Equity Global 5.73 0.69 9.18
Lipper Global Equity Sector Real Est Global 4.78 -2.62 10.4
Lipper Global Equity Global Sm&Mid Cap 6.31 3.63 10.84
Lipper Global Equity Sector Healthcare 4.82 0.24 16.04
Lipper Global Equity Global 5.86 2.16 10.15
Lipper Global Equity Global 5.66 1.09 11.26
Lipper Global Equity Global 5.49 4.91 9.57
Lipper Global Equity Global 5.22 3.71 10.83
Lipper Global Equity Global 6.06 1.9 9.27
Lipper Global Equity Global 6.01 4.31 9.85
Lipper Global Equity Global 5.85 6.43 12.86
Lipper Global Equity Global 5.05 -0.34 12.61
Lipper Global Equity Global 5.03 4.98 13.55
Lipper Global Equity Global Income 6.64 2.67 8.35
Lipper Global Equity Global ex UK 5.74 5.14 10.05
Lipper Global Equity UK Diversified 5.98 -2.49 10.55
Lipper Global Equity Global 6.19 -0.92 12.55
Lipper Global Equity Global 5.77 -1.58 13.35
Lipper Global Equity Global 5.16 -1.34 10.35
Lipper Global Equity Global 7.75 2.77 7.19
Lipper Global Equity Global 5.96 -1.97 9.61
Lipper Global Equity Sector Consumer Staples 5.84 -1.54 8.63
Lipper Global Equity Global 6.02 0.8 11.82
Lipper Global Equity Asia Pacific 5.15 -0.01 10.39
Lipper Global Equity Global 5.42 4.25 13.28
Lipper Global Equity Global 7.69 -0.3 10.95
Lipper Global Equity Global 6.22 3.93 11.55
Lipper Global Equity Global 6.47 -0.3 9.67
Lipper Global Equity Global 7.17 5.44 10.39
Lipper Global Equity Global Income 6.40 3.37 8.47

60
 The Relevance of Sustainability for Investors

Lipper Global Equity Global Income 6.19 2.98 8.61

Lipper Global Equity Global 6.54 5 9.32
Lipper Global Equity Global 5.89 5.82 11.4
Lipper Global Equity Sector Information Tech 6.22 11.74 15.52
Lipper Global Equity Global 5.89 -0.68 12.15
Lipper Global Equity Global 6.12 0.16 9.14
Lipper Global Equity Global 5.95 1.29 9.3
Lipper Global Equity Sector Real Est Global 4.84 -0.5 10.03
Lipper Global Equity Global 6.10 -1.76 10.55
Lipper Global Equity Sector Real Est Global 4.71 -0.25 10.7
Lipper Global Equity Global 5.79 6.4 13.93
Lipper Global Protected 6.93 -0.34 11.08
Lipper Global Equity Sector Healthcare 4.46 0.35 17.51
Lipper Global Equity Global 5.51 3.23 11.39
Lipper Global Equity Global 5.84 3.9 10.37
Lipper Global Equity Global 5.23 1.44 11.41
Lipper Global Equity Global 6.64 3.88 10.96
Lipper Global Equity Sector Healthcare 4.80 0.06 6.57
Lipper Global Equity Sector Healthcare 5.25 0.35 12.93
Lipper Global Equity Global 5.79 7.3 11.32
Lipper Global Equity Global 5.90 2.52 11.45
Lipper Global Equity Global 5.84 4.48 10.25
Lipper Global Equity Sector Information Tech 6.29 11.29 15.19
Lipper Global Equity Global 6.83 0.52 11.74
Lipper Global Equity Global 5.99 5.7 10.9
Lipper Global Equity Sector Gold&Prec Metals 5.04 9.16 34.79
Lipper Global Equity Global Income 6.31 0.32 5.2
Lipper Global Equity Global 5.92 2.33 9.77
Lipper Global Equity Global 5.19 -0.05 10.53
Lipper Global Equity Global 5.46 6.77 10.67
Lipper Global Equity Sector Gold&Prec Metals 5.35 5.83 33.01
Lipper Global Equity Global 5.50 4.54 11.57
Lipper Global Equity Global 5.12 2.06 10.35
Lipper Global Equity Global 5.42 4.05 12.39
Lipper Global Equity Global Income 6.06 0.24 8.69
Lipper Global Equity Global 5.70 3.62 8.49
Lipper Global Equity Global 6.43 9.93 9.96
Lipper Global Equity Global 7.18 1.68 10.82
Lipper Global Equity Sector Healthcare 5.10 1.3 12.94
Lipper Global Equity Sector Real Est Global 5.43 0.3 9.98
Lipper Global Equity Global 5.41 3.89 12.65
Lipper Global Equity Global 5.80 4.57 9.89
Lipper Global Equity Global 4.07 2.4 15.01
Lipper Global Equity Global 4.60 9.12 13.4
Lipper Global Equity Global 5.58 0.02 13.25
Lipper Global Equity Global 6.37 -0.27 10.54
Lipper Global Equity Global 5.51 3.07 9.03
Lipper Global Equity Global 5.31 5.46 12.04
Lipper Global Equity Global 6.18 1.2 11.24
Lipper Global Equity Global 4.58 1.96 12.62
Lipper Global Equity Sector Real Est Global 4.91 1.52 9.99
Lipper Global Equity Global 5.79 5.08 10.01
Lipper Global Equity Global 7.07 9.58 10.97
Lipper Global Equity Global 5.72 -0.55 12.3
Lipper Global Equity Sector Information Tech 6.27 11.7 15.04
Lipper Global Equity Global 5.80 3.65 9.58
Lipper Global Equity Global 8.08 3.35 10.87
Lipper Global Equity Global 5.34 0.06 11.86
Lipper Global Equity Global 6.01 1.5 8.18
Lipper Global Equity Global ex UK 5.56 2.53 11.41
Lipper Global Equity Global 5.29 1.91 12.52
Lipper Global Equity Global Income 6.47 2.47 8.94
Lipper Global Equity Sector Real Est Global 4.95 0.33 10.3
Lipper Global Guaranteed 6.03 -1.18 5.16
Lipper Global Equity Global 5.54 0.7 10.57
Lipper Global Equity Global 6.10 0.36 11.07
Lipper Global Equity Global Income 5.68 0.59 9.74
Lipper Global Equity Sector Energy 6.01 3.79 12.67
Lipper Global Equity US 5.39 7.65 14.68
Lipper Global Equity Global 6.32 2.03 9.72
Lipper Global Equity Sector Real Est Global 5.99 3.58 10.15
Lipper Global Equity Global 5.47 2.29 9.78
Lipper Global Equity Global 6.07 3.67 8.74
Lipper Global Equity Global 6.20 -1.01 11.36
Lipper Global Equity Global 5.93 3.73 12.62
Lipper Global Equity Sector Industrials 6.32 2.74 9.83
Lipper Global Equity Global 5.48 -1.92 10.77
Lipper Global Equity Global 5.42 1.73 9.71
Lipper Global Equity Sector Energy 4.78 -1.99 20.84
Lipper Global Equity Global 5.76 2.04 10.38
Lipper Global Equity Global 5.74 0.42 11.27
Lipper Global Equity Global 4.97 6.27 16.62
Lipper Global Equity Global 6.03 2.43 10.15
Lipper Global Equity Global Income 6.18 -0.05 11.27
Lipper Global Equity Global 4.96 0.96 12.49
Lipper Global Equity Sector Industrials 6.36 2.67 10.78

61
 The Relevance of Sustainability for Investors

Lipper Global Equity Sector Real Est Global 7.06 -2.28 9.83
Lipper Global Equity Global 4.59 4.26 12.51
Lipper Global Equity Sector Healthcare 5.27 1.48 12.92
Lipper Global Equity Sector Biotechnology 4.99 0.21 13.14
Lipper Global Equity Global 4.69 0.24 7.25
Lipper Global Equity Sector Financials 4.76 0.26 15.31
Lipper Global Equity Sector Real Est Global 4.94 -2.2 9.92
Lipper Global Equity Global 6.06 1.83 10.06
Lipper Global Equity UK Income 6.56 -5.77 13.49
Lipper Global Equity Global 6.82 -1.31 11.19
Lipper Global Equity Global 6.10 0.23 8.85
Lipper Global Equity Global 7.37 -0.63 11.78
Lipper Global Equity Global 5.88 1.94 10.09
Lipper Global Equity Global 6.35 4.65 7.57
Lipper Global Equity Sector Information Tech 5.44 12.74 17.56
Lipper Global Equity Sector Financials 5.34 1.37 12.56
Lipper Global Equity Sector Healthcare 5.58 -1.51 11.23
Lipper Global Equity Global 7.07 5.95 10.15
Lipper Global Equity Sector Consumer Discretionary 5.43 0.75 10.97
Lipper Global Equity Global 6.29 3.18 9.34
Lipper Global Equity Global 6.08 1.82 9.17
Lipper Global Equity Global 5.69 3.72 10.41
Lipper Global Equity Global Sm&Mid Cap 4.67 4.46 12.51
Lipper Global Equity Global 6.41 0.02 8.24
Lipper Global Equity Global 5.43 3.35 10.63
Lipper Global Equity Global 6.08 3.29 11.74
Lipper Global Equity Global 6.78 2.33 14.04
Lipper Global Equity Sector Energy 6.37 -2.91 15.68
Lipper Global Equity Global Income 6.66 3.41 11.16
Lipper Global Equity Global 5.71 3.49 9.96
Lipper Global Equity Sector Real Est Global 5.17 -2.64 10.36
Lipper Global Equity Global 5.71 2.36 11.1
Lipper Global Equity Global 5.32 1.47 10.15
Lipper Global Equity Global 6.13 1.4 10.66
Lipper Global Equity Global 7.49 -0.11 9.93
Lipper Global Equity Global 5.83 3.15 11.86
Lipper Global Equity Global 5.91 2.64 9.93
Lipper Global Equity Global 5.95 3.41 8.26
Lipper Global Equity Global 5.67 4.31 9.87
Lipper Global Equity Global 5.68 2.17 13.23
Lipper Global Equity Global 6.89 -1.42 13.55
Lipper Global Equity Global 5.57 3.03 12.45
Lipper Global Equity Global Sm&Mid Cap 5.69 -2.65 13.41
Lipper Global Equity Global 5.77 3.7 10.61
Lipper Global Equity Sector Gold&Prec Metals 5.55 7.57 31.92
Lipper Global Equity Sector Industrials 6.02 0.33 10.96
Lipper Global Equity Global 5.76 4.01 10.13
Lipper Global Equity Sector Real Est Global 5.69 -0.89 8.32
Lipper Global Equity Global 5.71 0.81 13.22
Lipper Global Equity Global 7.10 5.87 9.4
Lipper Global Equity Global 5.53 0.75 10.01
Lipper Global Equity Global 6.38 -3.69 16.01
Lipper Global Equity Sector Information Tech 5.15 5.33 17.55
Lipper Global Equity Sector Information Tech 4.86 9.59 15.99
Lipper Global Equity Global 5.14 2.88 10.28
Lipper Global Equity Sector Information Tech 6.38 5.88 13.05
Lipper Global Equity Global 5.87 1.96 10.21
Lipper Global Equity Sector Utilities 5.75 6.74 12.24
Lipper Global Equity Global 5.80 2.95 10.18
Lipper Global Equity Sector Materials 5.29 16.24 24.83
Lipper Global Equity Sector Financials 4.83 4.16 18.98
Lipper Global Equity Sector Gold&Prec Metals 4.93 5.48 32.54
Lipper Global Equity Global 5.97 4.87 11.06
Lipper Global Equity Global 5.62 -0.22 14.65
Lipper Global Equity Global 5.18 4.22 12.7
Lipper Global Equity Sector Healthcare 4.20 -1.89 28.03
Lipper Global Equity Global 6.33 -1.33 11.22
Lipper Global Equity Global 6.63 -2.22 4.18
Lipper Global Equity Sector Real Est Global 5.39 -0.24 9.79
Lipper Global Equity Global Sm&Mid Cap 4.65 -0.94 14.13
Lipper Global Equity Sector Financials 4.76 0.58 14.84
Lipper Global Equity Global 5.70 6.43 8.04
Lipper Global Equity Sector Materials 6.03 2.77 9.78
Lipper Global Equity Global Sm&Mid Cap 5.98 -3.51 11.6
Lipper Global Equity Global 5.93 -0.44 11.85
Lipper Global Equity Global 7.51 2.91 11.17
Lipper Global Equity Global 4.92 1.74 14.25
Lipper Global Equity Europe 6.20 -0.34 13.01
Lipper Global Equity Sector Healthcare 4.77 0.4 13.58
Lipper Global Equity Sector Healthcare 4.71 -3.68 14.51
Lipper Global Equity Global 5.82 3.89 9.94
Lipper Global Equity Global 6.64 3.87 10.49
Lipper Global Equity Global 5.12 2.98 11.3
Lipper Global Equity Global 6.41 3.55 7.89
Lipper Global Equity Global 6.21 3.65 10.37
Lipper Global Equity Global 6.85 3.38 11.65

62
 The Relevance of Sustainability for Investors

Lipper Global Equity Global 6.63 3.72 11.68

Lipper Global Equity Global 5.79 4.52 9.87
Lipper Global Equity Global Income 5.44 5.91 11.86
Lipper Global Equity Global 7.32 1.73 12.44
Lipper Global Equity Global 5.71 1.27 10.67
Lipper Global Equity Global 4.76 1.07 11.88
Lipper Global Equity Global 6.61 2.28 10.98
Lipper Global Equity Global 5.72 0.79 10.03
Lipper Global Equity Global 6.61 0.9 9.55
Lipper Global Equity Sector Consumer Discretionary 6.14 2.1 11.82
Lipper Global Equity Global 5.52 1.13 11.76
Lipper Global Equity Global 5.90 4.02 9.84
Lipper Global Equity Global 6.24 3.18 10.87
Lipper Global Equity Global 6.60 4.03 9.1
Lipper Global Equity Global 6.07 4.06 8.17
Lipper Global Equity Global 6.28 -3.84 11.09
Lipper Global Equity Global 6.19 3.07 11.05
Lipper Global Equity Global 6.36 2.25 9.91
Lipper Global Equity Global 6.01 3.07 8.02
Lipper Global Equity Global 6.33 0.06 10.75
Lipper Global Equity Global 5.71 0.09 10.92
Lipper Global Equity Global 6.78 1.24 10.15
Lipper Global Equity Global 6.20 3.98 11.06
Lipper Global Equity Global 5.76 4.62 9.77
Lipper Global Equity Global 5.49 6.57 11.42
Lipper Global Equity Global 6.22 2.74 10.7
Lipper Global Equity Global 6.01 -1.53 11.39
Lipper Global Equity Global 5.70 2.47 10.62
Lipper Global Equity Global 6.82 0.16 9.24
Lipper Global Equity Sector Real Est Global 5.31 -1.3 11.03
Lipper Global Equity Global 5.20 0.23 10.99
Lipper Global Equity Global 6.70 7.64 14.51
Lipper Global Equity Sector Healthcare 5.08 0.82 12.66
Lipper Global Equity Global 6.52 2.09 11.47
Lipper Global Equity Global 6.11 1.65 8.08
Lipper Global Equity Global 5.71 0.41 12.33
Lipper Global Equity Global 6.36 0.96 9.83
Lipper Global Equity Global 6.84 1.82 8.44
Lipper Global Equity Global 5.91 3.28 10.57
Lipper Global Equity Global 5.62 1.75 10.1
Lipper Global Equity Global Income 6.35 0.81 9.71
Lipper Global Equity Sector Information Tech 4.92 10.3 16.07
Lipper Global Equity Sector Information Tech 6.78 6.31 13.35
Lipper Global Equity Global 7.44 -3.6 11.23
Lipper Global Equity Sector Healthcare 4.94 -1.74 15.25
Lipper Global Equity Global 6.94 0.21 11.52
Lipper Global Equity Global 5.72 0.8 9.21
Lipper Global Equity Sector Real Est Global 5.09 -1.57 10.15
Lipper Global Equity Global 5.09 5.34 16.9
Lipper Global Equity Global 5.94 4.25 10.91
Lipper Global Equity Sector Healthcare 5.18 -2.34 15.34
Lipper Global Equity Global 5.51 -1.99 11.62
Lipper Global Equity Global 6.30 2.71 11.64
Lipper Global Equity Global 5.44 0.44 12.29
Lipper Global Equity Global 5.75 -1.81 11.09
Lipper Global Equity Global 5.87 5.1 11.27
Lipper Global Equity Global 5.28 3.61 11.52
Lipper Global Equity Global 5.03 3.02 11.1
Lipper Global Equity Sector Financials 5.99 6.25 10.47
Lipper Global Equity Global 4.34 11.45 15.68
Lipper Global Equity Global 5.62 3.29 10.71
Lipper Global Equity Global 5.61 7.2 12.99
Lipper Global Equity Global 6.29 0.81 9.24
Lipper Global Equity Global 7.12 1.73 10.23
Lipper Global Equity Global 5.90 3.77 11.25
Lipper Global Equity Global 6.77 5.53 11.37
Lipper Global Equity Sector Healthcare 5.91 -1.91 10.36
Lipper Global Equity Global 6.43 0.42 9.91
Lipper Global Equity Global 6.41 3.92 10.88
Lipper Global Equity Global 6.19 3.07 10.99
Lipper Global Equity Global 5.42 5.54 9.82
Lipper Global Equity Global 6.69 5.18 13.31
Lipper Global Equity Global 6.79 2.12 10.63
Lipper Global Equity Global 4.18 7.07 19.36
Lipper Global Equity Global 5.42 1.52 6.87
Lipper Global Equity Global 5.71 0.45 12.36
Lipper Global Equity Global ex Japan 5.76 3.49 11.4
Lipper Global Equity Sector Materials 6.26 3.51 14.01
Lipper Global Equity Global 5.85 3.96 12.29
Lipper Global Equity Global 6.28 -0.91 11.06
Lipper Global Equity Global 5.13 4.31 12.65
Lipper Global Equity Global 5.68 3.33 12.66
Lipper Global Equity Sector Gold&Prec Metals 5.49 8.23 32.21
Lipper Global Equity Global 5.85 2.34 11.2
Lipper Global Equity Sector Gold&Prec Metals 5.45 6.72 30.01
Lipper Global Equity Sector Real Est Global 4.87 -1.06 11.26

63
 The Relevance of Sustainability for Investors

Lipper Global Equity Sector Information Tech 5.05 9.29 11.32

Lipper Global Equity Global 5.56 0.09 12.37
Lipper Global Equity Sector Healthcare 5.00 4.98 11.72
Lipper Global Equity Global 5.82 1.51 10.27
Lipper Global Equity Global 5.55 -0.77 13.97
Lipper Global Equity Global 6.52 3.64 9.87
Lipper Global Equity Global 5.86 5.7 9.75
Lipper Global Equity Global 7.29 -0.2 9.46
Lipper Global Equity Global 5.24 6.76 18.71
Lipper Global Equity Sector Information Tech 5.57 9.83 14.69
Lipper Global Equity Global 5.64 4.46 8.75
Lipper Global Equity Global Income 6.21 2.23 10.82
Lipper Global Equity Global 7.04 0.88 9.24
Lipper Global Equity Sector Healthcare 5.60 -0.78 12.97
Lipper Global Equity Global 6.00 4.11 11.17
Lipper Global Equity Global 6.38 9.68 11.19
Lipper Global Equity Sector Gold&Prec Metals 5.33 10.22 31.49
Lipper Global Equity Global 5.55 3.25 11.32
Lipper Global Equity Global 5.76 -0.33 8.14
Lipper Global Equity Global 5.38 8.6 10.27
Lipper Global Equity Global 5.69 3.13 9.72
Lipper Global Equity Global 5.85 4.44 9.97
Lipper Global Equity Global 5.84 3.04 11.39
Lipper Global Absolute Return EUR High 5.28 -1.24 10.17
Lipper Global Equity Global 5.89 3.13 11.99
Lipper Global Equity Global 6.23 -0.1 5.62
Lipper Global Equity Global 5.37 2.79 11.08
Lipper Global Equity Global 5.36 1.19 12.1
Lipper Global Equity Global 6.18 3.46 8.71
Lipper Global Equity Global 6.10 1.29 7.76
Lipper Global Equity Global 6.14 1.91 10.36
Lipper Global Equity Global 6.02 1.61 10.14
Lipper Global Equity Sector Energy 4.99 -1.73 19.69
Lipper Global Equity Global 7.30 7.74 10.21
Lipper Global Equity Sector Real Est Global 4.88 -4.53 5.67
Lipper Global Equity Sector Consumer Staples 5.59 10.49 10.65
Lipper Global Equity Global 6.12 4.56 12.32
Lipper Global Equity Global 5.85 -1.79 10.83
Lipper Global Equity Global 5.59 2.99 13.19
Lipper Global Equity Global 4.87 6.46 13.64
Lipper Global Equity Global 5.86 2.35 10.24
Lipper Global Equity Sector Healthcare 5.15 1.23 13.78
Lipper Global Equity Sector Financials 5.41 1.24 13.79
Lipper Global Equity Global 6.27 -0.3 9.29
Lipper Global Equity Sector Gold&Prec Metals 4.25 10.68 25.25
Lipper Global Equity Global 6.27 2.06 11.48
Lipper Global Equity Global 5.13 0.12 10.77
Lipper Global Equity Sector Gold&Prec Metals 5.05 6.11 34.96
Lipper Global Equity Global 6.37 3.18 11.11
Lipper Global Equity Global 6.97 0.37 10.05
Lipper Global Equity Sector Biotechnology 4.82 -8.05 25.14
Lipper Global Equity Global 4.58 -2.8 9.37
Lipper Global Equity Global 7.11 0.55 12.37
Lipper Global Equity Global 4.75 5.89 14.15
Lipper Global Equity Global 5.74 5.78 12.09
Lipper Global Equity Global 5.57 2.97 12.5
Lipper Global Equity Global 5.63 1.99 10.19
Lipper Global Equity Global 5.85 2.69 10.45
Lipper Global Equity Sector Real Est Global 5.54 -1.39 9.42
Lipper Global Equity Global 6.15 4.63 10.38
Lipper Global Equity Global 6.43 4.6 9.37
Lipper Global Equity Global 6.38 -2.82 12.68
Lipper Global Equity Global Sm&Mid Cap 6.14 4.14 10.48
Lipper Global Equity Global 4.80 5.17 13.91
Lipper Global Equity Global 6.81 1.33 9.47
Lipper Global Equity Sector Information Tech 5.64 16.86 16.15
Lipper Global Equity Global 5.81 3.37 10.73
Lipper Global Equity Global Income 6.06 1.38 9.19
Lipper Global Equity Global Sm&Mid Cap 4.33 -4.68 11.36
Lipper Global Equity Global 6.16 3.94 8.82
Lipper Global Equity Global 6.13 3.31 10.63
Lipper Global Equity Sector Biotechnology 4.77 -10.96 26.47
Lipper Global Equity Global 5.25 1.14 11.81
Lipper Global Equity Global Income 5.63 4 9.24
Lipper Global Equity Global 6.97 5.83 11.18
Lipper Global Equity Global 6.11 2.69 10.87
Lipper Global Equity Global 5.76 -0.11 10.15
Lipper Global Protected 5.74 -3.11 6.91
Lipper Global Equity Global 5.83 1.22 10.2
Lipper Global Equity Global 7.24 0.59 11.1
Lipper Global Equity Sector Healthcare 5.02 -1.97 11.86
Lipper Global Equity Sector Consumer Discretionary 6.74 2.54 10.72
Lipper Global Equity Sector Gold&Prec Metals 5.52 10.03 35.5
Lipper Global Equity Sector Healthcare 4.76 -2.49 15.89
Lipper Global Equity Global 5.69 5.21 14.89
Lipper Global Equity Global 5.82 4.22 11.64

64
 The Relevance of Sustainability for Investors

Lipper Global Equity Global 6.31 3.54 13.26

Lipper Global Equity Sector Real Est Global 6.59 2.78 7.64
Lipper Global Equity Global 6.09 2 7.36
Lipper Global Equity US 5.79 6.36 12.24
Lipper Global Equity Global 5.40 1.13 9.54
Lipper Global Equity Global 6.62 1.45 8.8
Lipper Global Equity Global 5.76 3.49 11.35
Lipper Global Equity Sector Information Tech 6.59 7.02 14.35
Lipper Global Equity Global 6.08 3.41 11.48
Lipper Global Equity Global 5.11 5.08 11.02
Lipper Global Equity Sector Information Tech 5.80 13.54 14.7
Lipper Global Equity Global 5.26 -0.19 8.04
Lipper Global Equity Global Income 6.14 3.45 9.12
Lipper Global Equity Global 6.40 1.81 7.07
Lipper Global Equity Global 5.86 2.44 10.33
Lipper Global Equity Sector Real Est Global 4.76 1.92 10.01
Lipper Global Equity Global 5.80 3.85 10.01
Lipper Global Absolute Return EUR High 5.51 2.9 8.99
Lipper Global Absolute Return USD Medium 5.57 -1.03 8.87
Lipper Global Equity Global 4.53 19.21 22.35
Lipper Global Equity Global 5.54 0.76 10.3
Lipper Global Equity Global 5.82 4.07 9.93
Lipper Global Equity Global 5.91 5.51 7.7
Lipper Global Equity Global 5.75 0.39 9.76
Lipper Global Equity Sector Healthcare 4.60 -0.73 13.6
Lipper Global Equity Sector Real Est Global 4.75 -1 11.46
Lipper Global Equity Global 6.70 2.67 9.11
Lipper Global Equity Global 5.59 -0.57 11.84
Lipper Global Equity Sector Information Tech 6.07 9.82 14.89
Lipper Global Equity Sector Information Tech 5.86 9.84 13.34
Lipper Global Equity Global Income 5.98 4.42 9.31
Lipper Global Equity Global 5.81 2.23 10.38
Lipper Global Equity Global 6.34 4.29 10.54
Lipper Global Equity Global 5.63 1.57 13.04
Lipper Global Equity Global 4.97 3.29 21.55
Lipper Global Equity Global 6.20 0.99 11.37
Lipper Global Equity Global 5.75 4.29 9.77
Lipper Global Equity Global 6.61 0.95 9.19
Lipper Global Equity Sector Gold&Prec Metals 4.83 6.54 33.33
Lipper Global Equity Global 5.47 4.86 11.76
Lipper Global Equity Global ex UK 5.05 3.44 13.24
Lipper Global Equity Global 6.07 2.65 10.55
Lipper Global Equity Global 5.15 5.55 10.15
Lipper Global Equity Sector Energy 5.76 2.6 13.74
Lipper Global Equity Sector Healthcare 4.99 4.88 14.03
Lipper Global Equity Global 4.86 10.09 16.46
Lipper Global Equity Global 5.27 4.13 10.93
Lipper Global Equity Global 5.18 3.03 10.68
Lipper Global Equity Sector Information Tech 6.78 11.44 16.04
Lipper Global Equity Global 6.52 1.34 9.08
Lipper Global Equity Global 5.53 0.81 9.62
Lipper Global Equity Global 6.17 1.74 10.53
Lipper Global Equity Global 6.61 4.52 10.03
Lipper Global Equity Global 5.94 0.43 8.23
Lipper Global Equity Sector Real Est Global 4.87 -0.15 10.24
Lipper Global Equity Global 6.86 0.58 9.77
Lipper Global Equity Sector Utilities 7.18 -0.4 11.32
Lipper Global Equity Global 5.28 0.16 15.61
Lipper Global Equity Global 6.01 0.27 10.77
Lipper Global Equity Global 5.88 5.5 10.89
Lipper Global Equity Global 5.36 -1.26 14.04
Lipper Global Equity Global 5.71 4.09 11
Lipper Global Equity Global 5.27 2.93 10.85
Lipper Global Equity Sector Utilities 6.33 -0.69 10.19
Lipper Global Equity Global 5.30 3.45 10.24
Lipper Global Equity Global 5.35 5.67 10.71
Lipper Global Equity Global 5.90 3.52 7.5
Lipper Global Equity Global 4.82 4.73 14.82
Lipper Global Equity Sector Financials 4.85 7.09 14.63
Lipper Global Equity Global 5.82 4.08 11.44
Lipper Global Equity Global 4.89 0.61 10.23
Lipper Global Equity Global 6.79 6.47 9
Lipper Global Absolute Return EUR Medium 6.23 -4.49 2.84
Lipper Global Equity Sector Real Est Global 4.64 -2.6 9.59
Lipper Global Equity Global 5.96 2.69 10.39
Lipper Global Equity Global 5.69 -1.59 11.24
Lipper Global Equity Global 5.71 0.46 12.35
Lipper Global Equity Global 7.29 3.73 8.93
Lipper Global Equity Global 5.58 3.2 12.89
Lipper Global Equity Sector Real Est Global 4.18 0 11.12
Lipper Global Equity Sector Utilities 6.87 6.26 9.12
Lipper Global Equity Sector Real Est Global 5.34 -2.36 10.35
Lipper Global Equity Sector Gold&Prec Metals 4.51 6.15 36.56
Lipper Global Equity Global 5.66 4.4 11.53
Lipper Global Equity Global 5.99 2.38 9.19
Lipper Global Equity Global 5.77 4.32 10.88

65
 The Relevance of Sustainability for Investors

Lipper Global Equity Sector Real Est Global 6.13 -1.67 9.88
Lipper Global Equity Global 6.18 2.91 8.62
Lipper Global Equity Global 5.41 1.51 13.58
Lipper Global Equity Global 6.40 7.81 9.61
Lipper Global Equity Global 5.47 4.4 10.41
Lipper Global Equity Global 5.41 3.78 12.04
Lipper Global Equity Global 5.81 6.43 7.5
Lipper Global Equity Global 6.52 0.25 10.09
Lipper Global Equity Global 6.67 2.89 10.24
Lipper Global Equity Global 6.15 -0.99 10.55
Lipper Global Equity Global 5.60 3.19 10.39
Lipper Global Equity Global 5.71 3.35 10.67
Lipper Global Equity Global 5.79 5.82 9.49
Lipper Global Equity Global Income 6.38 3.74 8.14
Lipper Global Equity Global 5.92 3.34 11.21
Lipper Global Equity Sector Real Est Global 4.86 -1.41 11.05
Lipper Global Equity Global 6.12 4.34 12.94
Lipper Global Equity Global 5.40 5.53 11.12
Lipper Global Equity Global 5.37 0.28 13.76
Lipper Global Equity Global 6.22 0.62 8.68
Lipper Global Equity Global 7.07 9.25 10.83
Lipper Global Equity Global 5.95 0.73 10.96
Lipper Global Equity Other 5.90 6.35 14.2
Lipper Global Equity Global 5.36 1.1 9.74
Lipper Global Equity Global 6.38 2.96 9.71
Lipper Global Equity Global 5.52 1.27 12.18
Lipper Global Equity Global Income 5.63 2.24 8.06
Lipper Global Equity Sector Healthcare 5.46 5.14 13.77
Lipper Global Equity Global 5.48 4.06 10.35
Lipper Global Equity Global 5.82 6.92 10.41
Lipper Global Equity Global 5.83 3.87 10.48
Lipper Global Equity Global 5.72 4.38 9.95
Lipper Global Equity Sector Biotechnology 4.64 -8.55 23.67
Lipper Global Equity Global 6.12 4.93 9.56
Lipper Global Equity Global 6.62 6.18 9.17
Lipper Global Equity Global 5.97 3.99 9.9
Lipper Global Equity Global 6.10 2.36 11.55
Lipper Global Equity Sector Gold&Prec Metals 5.31 6.04 34.05
Lipper Global Equity Sector Healthcare 3.95 10.98 13.43
Lipper Global Equity Global 5.84 0.35 11.7
Lipper Global Equity Global 5.50 3.77 10.76
Lipper Global Equity Sector Real Est Global 5.02 -1.39 10.17
Lipper Global Equity Global 5.49 1.85 9.02
Lipper Global Equity Global Income 6.08 0.54 11.3
Lipper Global Equity Global 5.43 3.76 12.98
Lipper Global Equity Global 5.86 2.47 7.23
Lipper Global Equity Global 5.79 4.63 10
Lipper Global Equity Global 5.69 5.86 10.17
Lipper Global Equity Global 6.73 1.41 9.81
Lipper Global Equity Global 5.88 -2.69 8.25
Lipper Global Equity Global 6.42 -0.77 7.69
Lipper Global Equity Global 5.90 2.04 6
Lipper Global Equity Global 5.02 1.71 11.16
Lipper Global Equity Sector Information Tech 6.00 12.39 14.78
Lipper Global Equity Global 6.05 0.61 8.1
Lipper Global Equity Global 5.69 1.19 9.1
Lipper Global Equity Global 4.92 1.74 11.16
Lipper Global Equity Sector Materials 5.58 11.13 21.85
Lipper Global Equity Sector Information Tech 6.03 10.69 14.8
Lipper Global Equity Global 4.79 5.3 14.09
Lipper Global Equity Sector Gold&Prec Metals 4.85 5.07 28.79
Lipper Global Equity Global 6.35 1.73 10.62
Lipper Global Equity Global 5.60 4.25 11.88
Lipper Global Equity Global 5.73 1.84 10.01
Lipper Global Equity Sector Real Est Global 4.43 0.08 10.04
Lipper Global Equity Global 5.96 4 10.01
Lipper Global Equity Global 5.93 0.83 12.66
Lipper Global Equity Global 5.79 4.22 9.96
Lipper Global Equity Global 5.74 2.18 11.48
Lipper Global Equity Global 5.39 3.23 17.88
Lipper Global Equity Sector Consumer Discretionary 7.25 5.8 10.31
Lipper Global Equity Sector Information Tech 6.00 10.53 15.01
Lipper Global Equity Global Income 6.06 5.27 9.42
Lipper Global Equity Sector Financials 6.03 0.7 13.69
Lipper Global Equity Global 6.00 4.24 11.55
Lipper Global Equity Global 5.82 3.91 10.66
Lipper Global Equity Global Sm&Mid Cap 4.69 4.47 12.51
Lipper Global Equity Global 6.67 3.94 11.09
Lipper Global Equity Global 5.50 2.84 10.99
Lipper Global Equity Global 5.53 -0.65 10.58
Lipper Global Equity Sector Information Tech 5.28 3.14 16.57
Lipper Global Equity Global Income 6.86 2.99 6.85
Lipper Global Equity UK Diversified 6.41 1.37 10.86
Lipper Global Equity Global 6.48 2.15 9.36
Lipper Global Equity Global 5.52 5.51 10.98
Lipper Global Equity Global 6.56 1.77 9.67

66
 The Relevance of Sustainability for Investors

Lipper Global Equity Sector Healthcare 5.08 0.8 12.96

Lipper Global Equity Global 5.51 4.38 11.3
Lipper Global Equity Global 5.49 3.05 8.05
Lipper Global Equity Global 5.90 4.54 10.24
Lipper Global Equity Global 6.67 2.88 7.69
Lipper Global Equity Global 7.13 0.17 13.14
Lipper Global Equity Sector Healthcare 4.87 -0.53 14.01
Lipper Global Equity Sector Healthcare 4.78 -1.5 13.92
Lipper Global Equity Global 6.18 5.33 9.28
Lipper Global Equity Sector Real Est Global 6.23 2.53 7.28
Lipper Global Equity Global 7.43 1.68 13.17
Lipper Global Equity Global 6.62 2.86 8.87
Lipper Global Equity Global 5.49 5.59 12
Lipper Global Equity Global 5.61 1.77 10.13
Lipper Global Equity Global 5.24 0.41 12.02
Lipper Global Equity Global 5.80 4.68 10
Lipper Global Equity Global 5.08 1.38 11.88
Lipper Global Equity Global 5.84 4.8 10.18
Lipper Global Equity Sector Industrials 5.66 0.33 11.26
Lipper Global Equity Global 5.92 0.36 8.91
Lipper Global Equity Global Income 5.73 1.1 8.58
Lipper Global Equity Global Income 5.81 2.62 8.82
Lipper Global Equity Global 5.89 2.84 12.53
Lipper Global Equity Global 6.92 1.42 9.97
Lipper Global Equity Global 5.77 0.48 8.35
Lipper Global Equity Global 5.60 0.74 14.65
Lipper Global Equity Global 5.72 -1.29 10.46
Lipper Global Equity Sector Healthcare 4.84 -3.82 14.98
Lipper Global Equity Global Sm&Mid Cap 5.94 3.3 10.97
Lipper Global Equity Global 5.81 1 12.57
Lipper Global Equity Sector Information Tech 6.83 10.81 13.68
Lipper Global Equity Global 6.30 -1.37 9.63
Lipper Global Equity Global 5.97 3.65 10.57
Lipper Global Equity Global 5.84 1.33 11.06
Lipper Global Equity Global 5.13 0.58 13.57
Lipper Global Equity Global 6.78 -1.61 8.66
Lipper Global Equity Global 5.56 1.35 10.99
Lipper Global Equity Global 4.63 1.43 10.55
Lipper Global Equity Global ex UK 5.72 4.2 10.71
Lipper Global Equity Global 4.96 2.24 14.71
Lipper Global Equity Global 5.50 2.12 8.96
Lipper Global Equity Asia Pacific 4.20 2.04 12.68
Lipper Global Equity Global 5.30 3.89 11.33
Lipper Global Equity Global Sm&Mid Cap 4.50 0.86 13.66
Lipper Global Equity Global 5.13 0.95 11.69
Lipper Global Equity Global 6.68 -0.74 10.27
Lipper Global Equity Sector Consumer Discretionary 4.69 0.28 10.22
Lipper Global Equity Global 6.06 3.06 12.36
Lipper Global Equity Global 6.73 2.38 13.17
Lipper Global Equity Sector Consumer Discretionary 6.37 0.92 9.56
Lipper Global Equity Sector Financials 5.70 1.81 11.45
Lipper Global Equity Global 5.99 -1.97 9.53
Lipper Global Equity Sector Gold&Prec Metals 5.59 7.64 30.29
Lipper Global Equity Global 6.66 2.57 10.13
Lipper Global Equity Global Sm&Mid Cap 4.49 9.57 15.44
Lipper Global Equity Global 5.93 1.36 12.21
Lipper Global Equity Sector Financials 5.60 1.34 17.82
Lipper Global Equity Global 5.50 1.76 8.98
Lipper Global Equity Global Income 6.25 2.36 10.06
Lipper Global Equity Global 6.61 1.66 14.35
Lipper Global Equity Global 5.38 -1.05 11.41
Lipper Global Equity Global 6.10 1.65 7.76
Lipper Global Equity Global 6.64 2.43 10.09
Lipper Global Equity Sector Real Est Global 4.93 -0.02 10.04
Lipper Global Equity Sector Real Est Global 5.22 -8.12 14.41
Lipper Global Equity Sector Energy 4.78 -2.24 20.84
Lipper Global Equity Global 6.51 1.14 10.69
Lipper Global Equity Global 5.74 0.76 10.5
Lipper Global Equity Global 4.58 3.08 13.79
Lipper Global Equity Global 6.89 4.3 9.14
Lipper Global Equity Sector Real Est Global 4.79 2.5 9.73
Lipper Global Equity Global 6.51 3.16 11.07
Lipper Global Equity Sector Real Est Global 4.78 0.8 10.07
Lipper Global Equity Global 6.62 2.74 11.47
Lipper Global Equity Global 5.78 -0.11 7.61
Lipper Global Equity Sector Information Tech 6.01 10.22 15.91
Lipper Global Equity Global 5.07 3.54 9.66
Lipper Global Equity Global 6.21 2.22 11
Lipper Global Equity Global 6.91 -0.54 9.17
Lipper Global Equity Global 5.99 3.56 10.52
Lipper Global Equity Global 5.64 5.51 11.22
Lipper Global Equity Sector Energy 5.14 -0.96 15.37
Lipper Global Equity Global Sm&Mid Cap 5.48 0.61 13.36
Lipper Global Equity Sector Telecom Srvcs 6.75 -3.06 9.02
Lipper Global Equity Global 5.99 0.82 10.61
Lipper Global Equity Sector Gold&Prec Metals 4.39 21.64 34.98

67
 The Relevance of Sustainability for Investors

Lipper Global Equity Global 5.69 4.61 10.63

Lipper Global Equity Sector Real Est Global 4.77 -0.08 9.75
Lipper Global Equity Global Income 6.08 5.47 10.16
Lipper Global Equity Global 5.73 0.32 10.48
Lipper Global Equity Global 5.00 2.68 10.88
Lipper Global Equity Global 7.52 1.56 12.73
Lipper Global Equity Global 5.11 -1.17 13.41
Lipper Global Equity Global 6.75 2.15 10.23
Lipper Global Equity Global Sm&Mid Cap 4.58 0.14 12.93
Lipper Global Equity Global 6.38 0.58 8.75
Lipper Global Equity Global 6.21 1.28 11.02
Lipper Global Equity Global 5.75 3.15 13.13
Lipper Global Equity Global 6.79 1.45 10.97
Lipper Global Equity Global 6.10 5.8 10.68
Lipper Global Absolute Return EUR High 6.18 0.31 3.67
Lipper Global Equity Global 5.88 3.65 8.12
Lipper Global Equity Global 6.05 2.33 11.28
Lipper Global Equity Global 6.05 2.16 7.55
Lipper Global Equity Global 5.78 6.04 10.36
Lipper Global Equity Global 5.55 1.25 9.63
Lipper Global Equity Global 5.92 4.31 10.37
Lipper Global Equity Global 5.85 -0.62 11.1
Lipper Global Equity Global 5.62 0.62 13.41
Lipper Global Equity Global 6.34 -0.62 11.26
Lipper Global Equity Global 5.83 3.9 10.63
Lipper Global Equity Global 5.57 2.84 11.51
Lipper Global Equity Global 5.78 4.98 10
Lipper Global Equity Global 6.01 3.38 11.52
Lipper Global Equity Global Sm&Mid Cap 4.63 1.08 13.44
Lipper Global Equity Global 6.37 2.09 6.87
Lipper Global Equity Global 5.64 3.41 8.49
Lipper Global Equity Global 5.96 3.88 11.07
Lipper Global Equity Sector Financials 5.51 -2.48 14.65
Lipper Global Equity Global Income 6.08 6.32 10.45
Lipper Global Equity Global 6.91 1.04 10.79
Lipper Global Equity Global 5.72 4 9.76
Lipper Global Equity Global 5.54 3.12 8.91
Lipper Global Equity Global Income 6.63 3.38 9.83
Lipper Global Equity Global 5.49 0.23 9.66
Lipper Global Equity Global 6.38 -1.61 12.34
Lipper Global Equity Global 7.51 3.7 11.13
Lipper Global Equity Sector Biotechnology 4.33 -2.88 24.87
Lipper Global Equity Sector Gold&Prec Metals 4.33 13.14 42.32
Lipper Global Equity Sector Information Tech 6.17 10.36 14.45
Lipper Global Equity Global 6.39 -2.24 6.06
Lipper Global Equity Sector Consumer Discretionary 5.83 0.93 10.41
Lipper Global Equity Global 5.62 2.19 12.62
Lipper Global Equity Global 6.32 0.03 10.24
Lipper Global Equity Global 6.20 2.1 11.16
Lipper Global Equity Global 6.57 10.96 10.94
Lipper Global Equity Global Income 6.04 2.91 7.9
Lipper Global Equity Global Income 6.32 4.46 10.73
Lipper Global Equity Global 6.09 -1.83 8.92
Lipper Global Equity Global 5.78 3.56 5.8
Lipper Global Equity Global 5.97 2.48 10.59
Lipper Global Equity Global 5.85 3.73 11.03
Lipper Global Equity Global 5.62 -1.11 11.15
Lipper Global Equity Global 5.48 2.77 10
Lipper Global Equity Global Sm&Mid Cap 4.81 -0.36 12.34
Lipper Global Equity Global 6.30 2.83 11.06
Lipper Global Equity Global 5.79 2.53 9.92
Lipper Global Equity Global 5.95 -1.68 12.75
Lipper Global Equity Global 6.61 2.03 12.45
Lipper Global Equity Global 5.51 1.81 11.38
Lipper Global Equity Global Income 6.49 -5.29 7.08
Lipper Global Equity Sector Materials 5.78 8.37 21.57
Lipper Global Equity Global 5.90 0.43 8.23
Lipper Global Equity Global 5.88 0.75 10.01
Lipper Global Equity Global 6.77 2.74 9.89
Lipper Global Equity Global 5.78 4.45 9.91
Lipper Global Equity Sector Real Est Global 6.21 -4.25 9.9
Lipper Global Equity Global 5.70 1.12 10.35
Lipper Global Equity Global 6.66 0.99 9.96
Lipper Global Equity Sector Biotechnology 5.62 11.45 16.06
Lipper Global Equity Global Sm&Mid Cap 4.60 4.55 12.51
Lipper Global Equity Sector Energy 4.76 1.33 16.82
Lipper Global Equity Global 6.51 0.42 11.03
Lipper Global Equity Global 5.67 -0.49 12.88
Lipper Global Equity Sector Gold&Prec Metals 5.58 6.67 30.91
Lipper Global Equity Sector Real Est Global 5.90 -1.66 10.28
Lipper Global Equity Global 6.21 5.98 11.97
Lipper Global Equity Global 5.68 -3.77 12.54
Lipper Global Equity Global 6.76 3.01 7.73
Lipper Global Equity Sector Information Tech 6.09 12.85 16.34
Lipper Global Equity Sector Gold&Prec Metals 5.49 16.55 19.98
Lipper Global Equity Sector Healthcare 5.19 0.56 12.9

68
 The Relevance of Sustainability for Investors

Lipper Global Equity Global 6.60 -3.7 16.15

Lipper Global Equity Global 5.71 4.31 10.4
Lipper Global Equity Global 5.26 0.42 8.77
Lipper Global Equity Global 5.87 3.22 8.93
Lipper Global Equity Global 6.66 3.21 10.33
Lipper Global Equity Global 6.04 -0.64 12.86
Lipper Global Equity Sector Industrials 5.85 1.96 11.53
Lipper Global Equity Global 5.99 -0.73 9.09
Lipper Global Equity Global 6.52 5.82 9.97
Lipper Global Equity Global 6.39 2.19 10.31
Lipper Global Equity Sector Information Tech 6.58 7.31 13.5
Lipper Global Equity Global 5.77 5.1 11.06
Lipper Global Equity Global 6.04 -4.26 12.38
Lipper Global Equity Global 6.05 4.14 10.85
Lipper Global Equity Global Sm&Mid Cap 4.76 6.76 15.42
Lipper Global Equity Global 5.45 1.79 9.45
Lipper Global Equity Sector Industrials 5.47 4.2 13.5
Lipper Global Equity Sector Consumer Discretionary 5.04 4.06 12.48
Lipper Global Equity Global 5.83 4.1 10.16
Lipper Global Equity Global 6.35 1.28 10.99
Lipper Global Equity Global 5.59 2.18 12.18
Lipper Global Equity Global 6.36 -1.48 7.34
Lipper Global Equity Global 5.79 2.8 11.3
Lipper Global Equity Global 5.78 0.03 10.27
Lipper Global Equity Global 5.76 0.14 10.82
Lipper Global Equity Global 5.50 2.44 11
Lipper Global Equity Global 5.92 2.8 10.23
Lipper Global Equity Global 5.61 -0.48 10.36
Lipper Global Equity Global 5.78 5.03 10.01
Lipper Global Equity Global 5.68 3.9 12.22
Lipper Global Equity Global Income 6.52 -0.51 8.6
Lipper Global Equity Global 5.11 4.81 11
Lipper Global Equity Global 5.08 7.89 13.74
Lipper Global Equity Global 6.54 2.78 10.82
Lipper Global Equity Global 5.90 1.82 12.9
Lipper Global Equity Global 5.46 1.94 10.07
Lipper Global Equity Global 6.81 2.88 10.83
Lipper Global Equity Global 6.45 4.85 9.24
Lipper Global Equity Global 5.65 1.89 10.73
Lipper Global Equity Global 5.52 3.42 11.79
Lipper Global Equity Global 6.50 4.38 10.28
Lipper Global Equity Global Income 5.85 2.47 9.24
Lipper Global Equity Sector Real Est Global 4.48 1.07 9.01
Lipper Global Equity Sector Healthcare 5.05 2.17 12.9
Lipper Global Equity Global 7.69 1.01 10.39
Lipper Global Equity Sector Healthcare 3.83 12.51 13.25
Lipper Global Equity Global 6.25 4.63 7.72
Lipper Global Equity Global 5.79 4.96 10.01
Lipper Global Equity Sector Real Est Global 5.08 0.19 10.85
Lipper Global Equity Global 6.07 3.03 10.85
Lipper Global Equity Global 5.87 4.94 9.95
Lipper Global Equity Global Income 5.14 1.86 10.44
Lipper Global Equity Global 5.55 2.68 10.03
Lipper Global Equity Global 6.87 -2.6 9.11
Lipper Global Equity Global 6.10 -4.47 9.6
Lipper Global Equity Global 5.75 3.34 10.92
Lipper Global Equity Global 6.54 3.18 12.47
Lipper Global Equity Global 6.00 3.59 10.63
Lipper Global Equity Global 6.82 -0.27 8.55
Lipper Global Equity Global 5.94 2.65 9.1
Lipper Global Equity Sector Information Tech 5.99 12.86 14.57
Lipper Global Equity Global 5.08 4.75 13.21
Lipper Global Equity Global Income 5.37 1.79 12.66
Lipper Global Equity Global 5.49 4.46 11.97
Lipper Global Equity Global 5.32 3.78 9.15
Lipper Global Equity Global 6.44 1.72 8.8
Lipper Global Equity Global 5.86 3.88 10.81
Lipper Global Equity Global 6.33 4.67 9.08
Lipper Global Equity Global 5.69 1.35 10.93
Lipper Global Equity Global 6.26 1.61 8.57
Lipper Global Equity Sector Real Est Global 4.71 1.68 10.1
Lipper Global Equity Global Income 5.84 4.41 10.84
Lipper Global Equity Global 5.55 2.36 10.77
Lipper Global Equity Global 5.77 0.9 12.25
Lipper Global Equity Global Income 6.42 0.02 5.49
Lipper Global Equity Global 5.29 2.99 11.32
Lipper Global Equity Nordic 6.73 6.54 12.47
Lipper Global Equity Global 6.18 5.68 10.62
Lipper Global Equity Global 5.81 0.83 11.33
Lipper Global Equity Sector Gold&Prec Metals 5.65 13.12 31.76
Lipper Global Equity Global 5.24 3.54 12.11
Lipper Global Equity Global 6.70 -3.14 10.36
Lipper Global Equity Global 6.49 -0.75 13.29
Lipper Global Equity Sector Information Tech 6.32 8.95 15.96
Lipper Global Equity Sector Consumer Staples 6.59 0.53 10.1
Lipper Global Equity Global 6.47 3.48 10.62

69
 The Relevance of Sustainability for Investors

Lipper Global Equity Global 4.77 5.58 13.05

Lipper Global Equity Global 4.61 7.2 16.38
Lipper Global Equity Global 5.90 2.95 11.34
Lipper Global Equity Global 5.91 0.34 8.79
Lipper Global Equity Global 7.24 3.66 9.45
Lipper Global Equity Global Income 6.49 1.13 9.33
Lipper Global Equity Global 6.97 0.79 10.47
Lipper Global Equity Global 6.08 2.22 7.66
Lipper Global Equity Global Income 5.98 -0.93 7.94
Lipper Global Equity Global 4.65 6.72 12.79
Lipper Global Equity Global 6.62 1.45 11.46
Lipper Global Equity Global Income 6.87 2.04 7.24
Lipper Global Equity Global 6.46 5.29 7.71
Lipper Global Equity Global 5.34 -0.06 10.22
Lipper Global Equity Sector Information Tech 7.63 6.45 13.95
Lipper Global Equity Global 5.71 -0.15 13.97
Lipper Global Equity Global 6.15 2.62 8.39
Lipper Global Equity Sector Gold&Prec Metals 4.27 13.86 41.9
Lipper Global Equity Sector Industrials 6.29 4.24 14.96
Lipper Global Equity Global 5.82 -5.6 15.16

Regional Focus: Global Emerging Markets

Lipper Global Equity Emerging Mkts Global 4.74 5.55 11.71
Lipper Global Equity Emerging Mkts Global 4.88 6.09 10.12
Lipper Global Equity Emerging Mkts Global 4.35 6.89 11.11
Lipper Global Equity Emerging Mkts Global 4.11 5.34 11.39
Lipper Global Equity Emerging Mkts Global 4.35 6.87 11.09
Lipper Global Equity Emerging Mkts Global 4.67 5.15 11.22
Lipper Global Equity Emerging Mkts Global 4.60 6.06 11.65
Lipper Global Equity Emerging Mkts Global 4.84 5.79 12.01
Lipper Global Equity Emerging Mkts Global S&MCap 4.65 7.47 9.58
Lipper Global Equity Emerging Mkts Global 4.91 4.63 12.94
Lipper Global Equity Emerging Mkts Global 4.02 3.56 11.71
Lipper Global Equity Emerging Mkts Global 4.51 3.83 10.1
Lipper Global Equity Emerging Mkts Global 4.24 3.86 14.45
Lipper Global Equity Emerging Mkts Global 4.18 6.82 11.89
Lipper Global Equity Emerging Mkts Global 4.26 4.36 10.28
Lipper Global Equity Emerging Mkts Global 4.37 4.64 11.41
Lipper Global Equity Emerging Mkts Global 5.05 2.88 13.5
Lipper Global Equity Emerging Mkts Global 4.37 10.51 12.08
Lipper Global Equity Emerging Mkts Global 4.37 7.46 11.02
Lipper Global Equity Emerging Mkts Global 5.11 8.34 12.28
Lipper Global Equity Emerging Mkts Global 4.12 9.74 11.49
Lipper Global Equity Emerging Mkts Global 5.19 2.48 8.15
Lipper Global Equity Emerging Mkts Global 4.36 7.4 11.87
Lipper Global Equity Emerging Mkts Global 4.38 6.48 11.65
Lipper Global Equity Emerging Mkts Global 4.66 10.43 11.13
Lipper Global Equity Emerging Mkts Global 5.45 1.93 14.61
Lipper Global Equity Emerging Mkts Global 4.76 3.82 13.61
Lipper Global Equity Emerging Mkts Global 5.04 2.99 9.57
Lipper Global Equity Emerging Mkts Global 6.92 6.03 11.07
Lipper Global Equity Emerging Mkts Global 4.48 7.31 11.19
Lipper Global Equity Emerging Mkts Global 4.36 6.12 10.6
Lipper Global Equity Emerging Mkts Global 5.22 7.72 9.52
Lipper Global Equity Emerging Mkts Global 4.70 5.07 10.81
Lipper Global Equity Emerging Mkts Global 4.95 8.6 12.68
Lipper Global Equity Emerging Mkts Global 5.09 8.61 11.74
Lipper Global Equity Emerging Mkts Global 4.30 3.73 10.92
Lipper Global Equity Emerging Mkts Global 4.43 8.03 10.95
Lipper Global Equity Emerging Mkts Global 3.93 5.63 11.91
Lipper Global Equity Emerging Mkts Global 4.54 3.04 12.01
Lipper Global Equity Emerging Mkts Global 4.48 5.5 12.69
Lipper Global Equity Emerging Mkts Global 4.32 7.59 11.08
Lipper Global Equity Emerging Mkts Global 6.10 11.34 15.66
Lipper Global Equity Emerging Mkts Other 5.29 2.54 12.51
Lipper Global Equity Emerging Mkts Global 4.62 8.45 12.01
Lipper Global Equity Emerging Mkts Global 4.37 7.14 11.02
Lipper Global Equity Emerging Mkts Global 3.89 8.82 12.51
Lipper Global Equity Emerging Mkts Global 5.05 10.26 9.77
Lipper Global Equity Emerging Mkts Global 4.74 6.19 11.39
Lipper Global Equity Emerging Mkts Global 4.77 7.62 11.44
Lipper Global Equity Emerging Mkts Global 4.59 5.99 11.42
Lipper Global Equity Emerging Mkts Global 5.07 6.54 10.18
Lipper Global Equity Emerging Mkts Global 4.43 5.26 10.88
Lipper Global Equity Emerging Mkts Other 4.61 2.59 12.95
Lipper Global Equity Sector Consumer Staples 4.95 -0.42 10.17
Lipper Global Equity Emerging Mkts Global 4.71 6.64 10.54
Lipper Global Equity Emerging Mkts Global 4.35 5.85 11.61
Lipper Global Equity Emerging Mkts Global 4.61 7.03 11.93
Lipper Global Equity Emerging Mkts Global 4.58 9.65 11.68
Lipper Global Equity Emerging Mkts Global 4.71 3.2 9.77
Lipper Global Equity Emerging Mkts Global 4.14 2 10.39
Lipper Global Equity Emerging Mkts Global 4.51 7.93 10.9
Lipper Global Equity Emerging Mkts Global 4.61 7.19 11.92
Lipper Global Equity Emerging Mkts Global 4.79 6.1 9.83
Lipper Global Equity Emerging Mkts Global 5.21 1.26 9.79

70
 The Relevance of Sustainability for Investors

Lipper Global Equity Emerging Mkts Global S&MCap 4.17 -0.07 10.54
Lipper Global Equity Emerging Mkts Global 4.31 3.67 11.93
Lipper Global Equity Emerging Mkts Global 3.98 10.29 12.6
Lipper Global Equity Emerging Mkts Global 4.54 7.92 11.08
Lipper Global Equity Emerging Mkts Global 4.35 6.51 11.21
Lipper Global Equity Emerging Mkts Global 5.04 4.19 11.8
Lipper Global Equity Emerging Mkts Global 4.54 3.19 11.76
Lipper Global Equity Emerging Mkts Global 3.66 2.19 17.3
Lipper Global Equity Emerging Mkts Global 4.23 8.48 12.44
Lipper Global Equity Emerging Mkts Global 4.52 3.34 11.54
Lipper Global Equity Emerging Mkts Global 4.57 5.76 8.64
Lipper Global Equity Emerging Mkts Global S&MCap 4.64 1.2 11.48
Lipper Global Equity Emerging Mkts Global 5.23 3.58 9.76
Lipper Global Equity Emerging Mkts Global 5.62 5.36 10.01
Lipper Global Equity Emerging Mkts Global 4.51 2.86 11.12
Lipper Global Equity Emerging Mkts Global 6.21 6.38 9.77
Lipper Global Equity Emerging Mkts Global 4.20 3.03 9.36
Lipper Global Equity Emerging Mkts Global 4.48 5.73 13.16
Lipper Global Equity Emerging Mkts Global 4.56 6.14 10.22
Lipper Global Equity Emerging Mkts Global 4.31 5.26 13.26
Lipper Global Equity Emerging Mkts Global 4.10 2.62 8.8
Lipper Global Equity Emerging Mkts Global 4.32 4.84 10.71
Lipper Global Equity Emerging Mkts Global 4.64 5.62 10.81
Lipper Global Equity Emerging Mkts Global 5.71 3.67 11.32
Lipper Global Equity Emerging Mkts Global 4.54 6.06 11.35
Lipper Global Equity Emerging Mkts Global S&MCap 5.90 2.4 9.51
Lipper Global Equity Emerging Mkts Global 4.68 5.09 8.25
Lipper Global Equity Emerging Mkts Global 4.74 6.04 13.25
Lipper Global Equity Emerging Mkts Global 4.38 7.4 11.04
Lipper Global Equity Emerging Mkts Global 4.80 6.71 11.47
Lipper Global Equity Emerging Mkts Global 5.05 4.08 11.87
Lipper Global Equity Emerging Mkts Global 4.53 7.19 13.42
Lipper Global Equity Emerging Mkts Global 4.81 4.05 11.23
Lipper Global Equity Emerging Mkts Global 3.98 10.16 12.87
Lipper Global Equity Emerging Mkts Global 5.04 5.98 9.99
Lipper Global Equity Emerging Mkts Global 4.18 3.99 11.55
Lipper Global Equity Emerging Mkts Global 5.09 5.56 10.76
Lipper Global Equity Emerging Mkts Global 4.12 9.19 11.28
Lipper Global Equity Emerging Mkts Global 6.04 1.5 9.24
Lipper Global Equity Emerging Mkts Global 4.14 9.17 11.93
Lipper Global Equity Emerging Mkts Global 4.45 7.54 11.37
Lipper Global Equity Emerging Mkts Global 6.92 5.46 11.08
Lipper Global Equity Emerging Mkts Global 5.69 4.2 9.57
Lipper Global Equity Emerging Mkts Global 4.60 5.31 10.62
Lipper Global Equity Emerging Mkts Global 4.16 4.71 12.33
Lipper Global Equity Emerging Mkts Global 4.66 10.96 11.35
Lipper Global Equity Emerging Mkts Global 4.72 3.3 11.13
Lipper Global Equity Emerging Mkts Global 5.56 3.65 10.77
Lipper Global Equity Emerging Mkts Global 4.77 1.96 8.7
Lipper Global Equity Emerging Mkts Global 4.73 4.97 10.87
Lipper Global Equity Emerging Mkts Global 5.02 2.35 8.98
Lipper Global Equity Emerging Mkts Global 4.50 7.4 11.16
Lipper Global Equity Emerging Mkts Global 4.77 5.62 13.24
Lipper Global Equity Emerging Mkts Global 5.43 3.61 11.98
Lipper Global Equity Emerging Mkts Global 4.54 3.05 12.5
Lipper Global Equity Emerging Mkts Global 4.38 6.58 11.89
Lipper Global Equity Emerging Mkts Global 4.35 6.14 11.36
Lipper Global Equity Emerging Mkts Global 4.28 4.41 10.34
Lipper Global Equity Emerging Mkts Global 4.35 7.05 10.87
Lipper Global Equity Emerging Mkts Global 4.41 6.28 11.58
Lipper Global Equity Global 4.31 2.47 11.35
Lipper Global Equity Emerging Mkts Global 4.86 3.07 11.19
Lipper Global Equity Emerging Mkts Global 4.83 8.01 11.09
Lipper Global Equity Emerging Mkts Global 4.30 5.92 10.47
Lipper Global Equity Emerging Mkts Global 3.93 11.05 14.75
Lipper Global Equity Emerging Mkts Global 6.16 3.69 9.84
Lipper Global Equity Emerging Mkts Global 4.80 7.24 13.26
Lipper Global Equity Emerging Mkts Global 4.64 5.51 11.29
Lipper Global Equity Emerging Mkts Global 3.89 1.66 13.42
Lipper Global Equity Emerging Mkts Global 4.87 2.79 11.5
Lipper Global Equity Emerging Mkts Global 4.25 3.62 10.87
Lipper Global Equity Emerging Mkts Global 4.73 -4.15 10.17
Lipper Global Equity Emerging Mkts Global 4.80 7.41 11.38
Lipper Global Equity Emerging Mkts Global 4.51 3.73 10.87
Lipper Global Equity Emerging Mkts Global 4.60 5.43 11.88
Lipper Global Equity Emerging Mkts Global 4.57 0.14 12.01
Lipper Global Equity Emerging Mkts Global 4.89 1.99 11.42
Lipper Global Equity Emerging Mkts Global 4.58 4.85 7.72
Lipper Global Equity Emerging Mkts Global 4.96 9.81 11.73
Lipper Global Equity Emerging Mkts Global 4.66 8.76 11.96
Lipper Global Equity Emerging Mkts Global 4.59 7.6 11.92
Lipper Global Equity Emerging Mkts Global 4.22 5.21 13.26
Lipper Global Equity Emerging Mkts Other 5.54 1.82 13.6
Lipper Global Equity Emerging Mkts Global 3.96 3.15 11.5
Lipper Global Equity Emerging Mkts Global 6.19 7.89 10.16
Lipper Global Equity Emerging Mkts Global 4.69 5.33 12.24

71
 The Relevance of Sustainability for Investors

Lipper Global Equity Emerging Mkts Global 4.35 7.28 11.08

Lipper Global Equity Emerging Mkts Global S&MCap 4.13 0.97 10.35
Lipper Global Equity Emerging Mkts Global 4.52 3.67 9.94
Lipper Global Equity Emerging Mkts Global 4.71 3.09 10.49
Lipper Global Equity Emerging Mkts Global 4.66 3.8 10.78
Lipper Global Equity Emerging Mkts Global 4.58 6.35 12.08
Lipper Global Equity Emerging Mkts Global 4.60 5.1 10.43
Lipper Global Equity Emerging Mkts Global 4.39 8.02 11.55
Lipper Global Equity Emerging Mkts Global 5.03 0.28 9.26
Lipper Global Equity Emerging Mkts Global 4.75 9.15 13.77
Lipper Global Equity Emerging Mkts Global 4.84 8.07 10.17
Lipper Global Equity Emerging Mkts Global 4.51 6.58 11.4
Lipper Global Equity Emerging Mkts Global S&MCap 4.21 0.7 11.27
Lipper Global Equity Emerging Mkts Global 4.73 4.98 9.41
Lipper Global Equity Emerging Mkts Global 4.32 9.65 12.1
Lipper Global Equity Emerging Mkts Global 4.00 8.76 12.98
Lipper Global Equity Emerging Mkts Global 4.52 5.56 12.05
Lipper Global Equity Emerging Mkts Global 4.95 4.38 11.8
Lipper Global Equity Emerging Mkts Global 4.88 5.82 11.49
Lipper Global Equity Emerging Mkts Global 4.36 3.97 12.43
Lipper Global Equity Emerging Mkts Global 5.09 -7.76 9.91
Lipper Global Equity Emerging Mkts Global 4.85 6.08 11.7
Lipper Global Equity Emerging Mkts Global 5.23 6.32 11.58
Lipper Global Equity Emerging Mkts Global 4.63 5.19 11.66
Lipper Global Equity Emerging Mkts Global 4.72 1.43 11.03
Lipper Global Equity Emerging Mkts Global 4.73 7.1 10.51
Lipper Global Equity Emerging Mkts Global 4.61 3.43 10.53
Lipper Global Equity Emerging Mkts Global 4.60 7.91 10.75
Lipper Global Equity Emerging Mkts Global 4.78 7.62 11.11
Lipper Global Equity Emerging Mkts Global 4.82 9.13 10.18
Lipper Global Equity Emerging Mkts Global 4.29 6.03 11.78
Lipper Global Equity Emerging Mkts Global 6.96 6.07 10.04
Lipper Global Equity Emerging Mkts Global 4.50 4.07 11.78
Lipper Global Equity Emerging Mkts Global 4.36 6.94 11.26
Lipper Global Equity Emerging Mkts Global 4.44 0.74 12.49
Lipper Global Equity Emerging Mkts Global 5.20 8.04 9.9
Lipper Global Equity Emerging Mkts Global 4.43 8.25 11.5
Lipper Global Equity Emerging Mkts Global 4.60 6.65 12.26
Lipper Global Equity Emerging Mkts Global 4.44 6.75 10.97
Lipper Global Equity Emerging Mkts Global 4.37 7.39 11.1
Lipper Global Equity Emerging Mkts Global 3.60 13.82 12.52
Lipper Global Equity Emerging Mkts Global 4.84 8.28 10.7
Lipper Global Equity Emerging Mkts Global 4.20 13.75 14.64
Lipper Global Equity Emerging Mkts Global 4.49 2.49 9.31
Lipper Global Equity Emerging Mkts Global 5.04 1.43 13.47
Lipper Global Equity Emerging Mkts Global 4.78 2.78 9.9
Lipper Global Equity Emerging Mkts Global 4.48 4.42 9.84
Lipper Global Equity Emerging Mkts Global 4.57 2.76 11.8
Lipper Global Equity Emerging Mkts Global 4.31 4.07 11.93
Lipper Global Equity Emerging Mkts Global 3.95 3.47 10.12
Lipper Global Equity Emerging Mkts Global 4.39 4.47 12
Lipper Global Equity Emerging Mkts Global 4.11 2.47 9.71
Lipper Global Equity Emerging Mkts Global 6.10 4.96 9.92
Lipper Global Equity Emerging Mkts Global 5.85 2.36 9.6
Lipper Global Equity Emerging Mkts Global 4.88 3.11 11.05
Lipper Global Equity Sector Financials 5.44 3.99 14.15
Lipper Global Equity Emerging Mkts Global 4.87 5.34 11.88
Lipper Global Equity Emerging Mkts Global 4.07 5.49 11.76
Lipper Global Equity Emerging Mkts Global 4.39 8.05 11.63
Lipper Global Equity Emerging Mkts Global 4.09 4.43 11
Lipper Global Equity Emerging Mkts Global 5.04 0.46 9.41
Lipper Global Equity Emerging Mkts Global 4.39 2.54 11.42
Lipper Global Equity Emerging Mkts Global 4.92 3.74 11.97
Lipper Global Equity Emerging Mkts Global 4.34 10.07 12.25
Lipper Global Equity Emerging Mkts Global 4.00 3.74 13.76
Lipper Global Equity Emerging Mkts Global 4.90 3.99 11.78
Lipper Global Equity Emerging Mkts Global 4.56 5.83 10.54
Lipper Global Equity Emerging Mkts Global 5.10 0.92 11.02
Lipper Global Equity Emerging Mkts Global 4.68 5.06 10.57
Lipper Global Equity Emerging Mkts Global 4.64 5.41 11.71
Lipper Global Equity Emerging Mkts Global 4.37 3.43 10.5
Lipper Global Equity Emerging Mkts Global 4.48 6.55 12.18
Lipper Global Equity Emerging Mkts Global 4.14 4 12.79
Lipper Global Equity Emerging Mkts Global 4.75 3.92 12.63
Lipper Global Equity Emerging Mkts Global 4.40 4.67 10.1
Lipper Global Equity Emerging Mkts Global 4.37 7.21 10.99
Lipper Global Equity Emerging Mkts Global 4.83 8.35 13.7
Lipper Global Equity Emerging Mkts Global 3.87 -1.02 15.05
Lipper Global Equity Emerging Mkts Global 5.62 3.87 9.13
Lipper Global Equity Emerging Mkts Global 4.64 7.5 14.12
Lipper Global Equity Emerging Mkts Global 4.56 0.53 9.09
Lipper Global Equity Emerging Mkts Global 4.59 4.82 12.19
Lipper Global Equity Emerging Mkts Global 4.35 -2.64 11.69
Lipper Global Equity Emerging Mkts Global 3.92 1.5 13.51
Lipper Global Equity Emerging Mkts Global 4.46 7.11 11.34
Lipper Global Equity Emerging Mkts Global 4.60 6.59 11.87

72
 The Relevance of Sustainability for Investors

Lipper Global Equity Emerging Mkts Global 4.39 2.03 14.07

Lipper Global Equity Emerging Mkts Global 4.46 7.57 11.36
Lipper Global Equity Emerging Mkts Global 4.60 5.43 11.89
Lipper Global Equity Emerging Mkts Global 4.68 4.4 11.36
Lipper Global Equity Emerging Mkts Global 4.99 3.38 10.27
Lipper Global Equity Emerging Mkts Global 4.97 6.82 11.77
Lipper Global Equity Emerging Mkts Global 4.11 8.69 11.6
Lipper Global Equity Emerging Mkts Global 5.10 2.8 8.94
Lipper Global Equity Emerging Mkts Global 4.86 2.04 11.65
Lipper Global Equity Emerging Mkts Global 4.13 9.58 10.91
Lipper Global Equity Emerging Mkts Global 4.26 2.78 13.05
Lipper Global Equity Emerging Mkts Global 4.77 6.62 11.25
Lipper Global Equity Emerging Mkts Global 4.36 8 11.68
Lipper Global Equity Emerging Mkts Global 4.49 7.35 11.54
Lipper Global Equity Emerging Mkts Global 5.19 4.34 11.82
Lipper Global Equity Emerging Mkts Global 4.32 5.32 10.74
Lipper Global Equity Emerging Mkts Global 4.45 7.07 11.13
Lipper Global Equity Sector Consumer Staples 4.80 -0.12 10.05
Lipper Global Equity Emerging Mkts Global 5.03 3.51 10.41
Lipper Global Equity Emerging Mkts Global 4.79 7.75 9.86
Lipper Global Equity Emerging Mkts Global 4.66 9.17 11.37
Lipper Global Equity Emerging Mkts Global 4.74 6.09 11.76
Lipper Global Equity Emerging Mkts Global 4.33 6.22 12.33
Lipper Global Equity Emerging Mkts Global 4.55 4.49 11.75
Lipper Global Equity Emerging Mkts Global 4.46 7.78 11.26
Lipper Global Equity Emerging Mkts Global 4.25 3.85 13.58
Lipper Global Equity Sector Healthcare 3.90 -7.64 13.41

Regional Focus: Switzerland

Lipper Global Equity Switzerland 6.51 1.92 10.04
Lipper Global Equity Switzerland 6.54 5.6 8.91
Lipper Global Equity Swiss Sm&Mid Cap 5.79 4.01 11.25
Lipper Global Equity Switzerland 6.85 3.67 9.04
Lipper Global Equity Switzerland 6.76 1.67 9.77
Lipper Global Equity Switzerland 6.84 1.32 9.45
Lipper Global Equity Switzerland 6.72 2.22 9.44
Lipper Global Equity Switzerland 6.87 0.49 9.41
Lipper Global Equity Swiss Sm&Mid Cap 5.89 6.55 12.04
Lipper Global Equity Swiss Sm&Mid Cap 5.77 6.13 12.26
Lipper Global Equity Switzerland 6.76 1 9.31
Lipper Global Equity Swiss Sm&Mid Cap 5.56 3.21 11.59
Lipper Global Equity Switzerland 7.05 1.02 9.49
Lipper Global Equity Switzerland 6.65 1.06 9.63
Lipper Global Equity Switzerland 6.84 1.26 9.42
Lipper Global Equity Swiss Sm&Mid Cap 5.72 5.77 12.95
Lipper Global Equity Switzerland 6.91 3.15 8.38
Lipper Global Equity Switzerland 6.74 1.81 10.53
Lipper Global Equity Switzerland 6.70 0.29 10.38
Lipper Global Equity Switzerland 6.78 1.81 9.33
Lipper Global Equity Switzerland 6.45 0.54 9.52
Lipper Global Equity Switzerland 6.38 3.08 9.83
Lipper Global Equity Swiss Sm&Mid Cap 5.95 1.6 13.2
Lipper Global Equity Switzerland 6.65 1 9.15
Lipper Global Equity Swiss Sm&Mid Cap 5.58 2.61 13.47
Lipper Global Equity Swiss Sm&Mid Cap 5.92 4.96 14.08
Lipper Global Equity Switzerland 6.91 0.54 9.47
Lipper Global Equity Switzerland 6.81 2.45 9.06
Lipper Global Equity Swiss Sm&Mid Cap 5.69 4.9 11.83
Lipper Global Equity Switzerland 6.45 1.73 11.06
Lipper Global Equity Switzerland 7.00 -0.35 9.48
Lipper Global Equity Switzerland 7.07 0.83 9.39
Lipper Global Equity Switzerland 6.70 1.31 10.36
Lipper Global Equity Switzerland 6.78 2.79 9.53
Lipper Global Equity Swiss Sm&Mid Cap 5.73 7.25 13.9
Lipper Global Equity Swiss Sm&Mid Cap 5.76 1.47 14.72
Lipper Global Equity Swiss Sm&Mid Cap 5.82 5.18 10.59
Lipper Global Equity Switzerland 7.41 0.27 9.25
Lipper Global Equity Switzerland 6.22 -0.98 11.36
Lipper Global Equity Switzerland 6.78 1.49 9.26
Lipper Global Equity Swiss Sm&Mid Cap 5.80 4.02 11.27
Lipper Global Equity Swiss Sm&Mid Cap 5.69 5.32 11.87
Lipper Global Equity Switzerland 6.35 2.33 10.82
Lipper Global Equity Switzerland 6.86 1.09 9.45
Lipper Global Equity Switzerland 6.87 1.82 9.4
Lipper Global Equity Switzerland 6.54 4.34 7.81
Lipper Global Equity Switzerland 6.89 0.83 9.48
Lipper Global Equity Swiss Sm&Mid Cap 5.59 4.15 11.63
Lipper Global Equity Switzerland 7.00 1.15 9.55
Lipper Global Equity Switzerland 7.31 1.64 9.16
Lipper Global Equity Switzerland 6.87 2.83 9.46
Lipper Global Equity Switzerland 6.77 -2.4 9.76
Lipper Global Equity Swiss Sm&Mid Cap 5.90 4.87 13.58
Lipper Global Equity Swiss Sm&Mid Cap 5.17 3.6 12.34
Lipper Global Equity Switzerland 6.73 2.49 9.29
Lipper Global Equity Switzerland 6.64 2.9 9.89
Lipper Global Equity Swiss Sm&Mid Cap 6.16 10.6 14.18

73
 The Relevance of Sustainability for Investors

Lipper Global Equity Swiss Sm&Mid Cap 5.82 3.43 11.61

Lipper Global Equity Switzerland 6.66 0.73 9.32
Lipper Global Equity Switzerland 7.12 0.95 9.83
Lipper Global Equity Switzerland 7.32 -0.01 9.07
Lipper Global Equity Switzerland 6.71 -0.01 9.97
Lipper Global Equity Switzerland 6.88 2.53 9.5
Lipper Global Equity Switzerland 6.70 2.51 10.01
Lipper Global Equity Swiss Sm&Mid Cap 5.59 2.51 13.62
Lipper Global Equity Switzerland 6.70 1.44 9.61
Lipper Global Equity Swiss Sm&Mid Cap 5.54 0.33 12.18
Lipper Global Equity Switzerland 6.86 1.47 9.29
Lipper Global Equity Switzerland 6.86 1.68 9.5
Lipper Global Equity Swiss Sm&Mid Cap 6.02 5.42 12.2
Lipper Global Equity Swiss Sm&Mid Cap 5.91 4.56 11.8
Lipper Global Equity Switzerland 6.86 1.51 9.46
Lipper Global Equity Switzerland 6.35 3.53 10.26
Lipper Global Equity Swiss Sm&Mid Cap 5.98 7.95 12.94
Lipper Global Equity Switzerland 6.79 -0.68 9.83
Lipper Global Equity Switzerland 5.98 2.29 12.72
Lipper Global Equity Switzerland 6.19 2.14 10.76
Lipper Global Equity Switzerland 6.76 2.81 9.58
Lipper Global Equity Switzerland 6.86 1.16 9.43
Lipper Global Equity Switzerland 6.75 0.77 10.6
Lipper Global Equity Switzerland 6.24 1.82 7.75
Lipper Global Equity Switzerland 6.87 1.39 9.45
Lipper Global Equity Switzerland 6.09 -1.52 10.09
Lipper Global Equity Switzerland 6.87 1.97 9.25
Lipper Global Equity Switzerland 6.87 0.87 9.44
Lipper Global Equity Swiss Sm&Mid Cap 5.65 4 11.38
Lipper Global Equity Switzerland 7.12 1.02 9.83
Lipper Global Equity Switzerland 7.09 0.69 9.84
Lipper Global Equity Swiss Sm&Mid Cap 5.88 4.18 12.35
Lipper Global Equity Swiss Sm&Mid Cap 5.67 5.18 11.66
Lipper Global Equity Switzerland 6.82 -0.01 9.36
Lipper Global Equity Switzerland 6.89 0.76 9.59
Lipper Global Equity Switzerland 7.07 1.12 6.96
Lipper Global Equity Switzerland 6.40 1.61 8.99
Lipper Global Equity Switzerland 6.33 -1.82 9.72
Lipper Global Equity Switzerland 7.11 0.75 9.83
Lipper Global Equity Swiss Sm&Mid Cap 5.87 2.27 12.32
Lipper Global Equity Switzerland 6.87 2.23 8.76
Lipper Global Equity Swiss Sm&Mid Cap 5.72 4.09 11.25
Lipper Global Equity Switzerland 7.11 0 9.94
Lipper Global Equity Switzerland 6.80 -0.2 9.61
Lipper Global Equity Switzerland 6.83 1.56 8.59
Lipper Global Equity Swiss Sm&Mid Cap 5.76 3.84 11.31
Lipper Global Equity Switzerland 6.81 1 9.52

Regional Focus: India

Lipper Global Equity India 4.95 4.47 17.33
Lipper Global Equity India 5.20 5.17 17.47
Lipper Global Equity India 4.76 12.05 17.72
Lipper Global Equity India 4.46 3.89 16.4
Lipper Global Equity India 4.95 6.02 15.42
Lipper Global Equity India 4.61 5.72 16.52
Lipper Global Equity India 4.91 2.19 18.81
Lipper Global Equity India 4.36 6.05 16.32
Lipper Global Equity India 4.88 4.03 16.8
Lipper Global Equity India 4.96 4.18 17.15
Lipper Global Equity India 4.74 4.79 16.48
Lipper Global Equity India 3.82 4.85 17.38
Lipper Global Equity India 4.64 6.76 14.86
Lipper Global Equity India 5.02 4.07 15.17
Lipper Global Equity India 5.26 5.71 16
Lipper Global Equity India 4.74 6.01 18.58
Lipper Global Equity India 5.05 7.56 15.38
Lipper Global Equity India 4.49 2.11 18.69
Lipper Global Equity India 5.00 3.95 14.73
Lipper Global Equity India 4.84 0.51 16.56
Lipper Global Equity India 5.33 5.8 17.23
Lipper Global Equity India 4.73 7.48 15.21
Lipper Global Equity India 4.61 7.34 16.24
Lipper Global Equity India 4.77 4.2 16.22
Lipper Global Equity India 4.31 2.46 17.22
Lipper Global Equity India 4.27 5.7 15.47
Lipper Global Equity India 4.40 4.39 18.59
Lipper Global Equity India 5.39 5.84 17.29
Lipper Global Equity India 5.25 6.67 17.14
Lipper Global Equity India 3.87 3.84 15.51

74